All else being equal, will a person who regularly gets a good steam from a sauna be in some sense healthier?
There is no evidence that it directly benefits your health.
However, the stress reducing effects from relaxing and enjoying a good steam should not be overlooked. It is safe to say that if one feels a great deal of comfort and relaxation from a good steaming, that goes a long way towards fighting stress.
Stress (or not managing it) goes a long way towards beating down your immune system.
If you want to investigate the benefits, and you consider the sauna relaxing and potentially a stress buster, then research the effects of stress on the human body. There are a number of studies that link stress to illness, etc.