How many gyms have you attended? Because for that to be common is what's very odd to me. I've never seen that in any of the gyms with saunas I've been to (thinking of at least 10) - there was one small additional sauna within the women's changing rooms at one once but no male equivalent, and they got rid of it after a refurb. All others have had one, mixed sex, sauna off the main pool.