I have a buddy who has a sauna - he says it's cedar - and he uses this product:
Says the outfit that installed the sauna used it, and recommended that he re-seal at least the benches and ceiling every two or three years. He's been using it on the floor also, and has done the walls once. He's had the sauna about ten years, and says he's happy with the result.
The finish makes it easier to keep clean and nice looking since I have pine. I saw a website for a UK company that sells a couple of finishes made specifically for saunas (TEKNOS Satu & Tikkurila Supi Sauna Finish). If and when I can remove the spar, I guess I'll see if I can get one of them.
I theory, the steel is helping to force the warp, but I bet removing it won't help much, if any. The forces required to bend that steel are minor compared to the force of wood trying to find its 'happy shape' with moisture changes. But changing the mounting method to one that allows for movement is certainly necessary.
I've never heard of applying a finish to the interior of a sauna. Every one I've been in is just bare wood, usually cedar. Shellac is a good sealer, but doesn't do well with heat and humidity. And I wouldn't want to trust it to block all the off gassing that would occur, especially with a user with sensitivities.
Your choices for removal are chemical strippers, sanding, or scraping. Scraping would be my first choice, but any method is going to be a lot of work.