Steam rooms and Saunas do basically the same thing but fundamentally in different ways.
Steam rooms use a wet heat.
Sauna rooms use a dry heat.
Steam rooms use humidity to produce sweating. This is done by producing steam usually to a temperature of about 40c which gives 100% humidity to the air. Whereas a sauna uses a dry heat usually a temperature of between 80c and 100c.
Whilst the temperatures between the 2 appear to be vastly different in truth the temperatures feel about the same because of the types of heat produced.
The choice between which system is the better can be debated forever. Personally I believe a humid heat is best for chest, sinus congestion and other lung complaints and it is also said a wet heat is better for skin hydration. Saying this I am sure there would be plenty out there who would contradict this, whilst giving a differing opinion. But what is true and would be universally agreed is that both systems are positive to health and well being.