Finns go to sauna at least once every week and haven't gone extinct yet.

Still there are studies that regular sauna does decrease testosterone production. It's not hard to counter though, ice packs applied to testicles ( not direct ice, ice in a cloth) during sauna are effective for that purpose.

And maybe Finns don't go to sauna when they plan to conceive? Does Finland have a lower rate of unwanted pregnancies?

Finland's fertility rate drove off a cliff in the 60's like in so many other countries. If sauna has an overall effect we wouldn't know as we've nothing to compare with -- going to sauna is rather universal and the tradition is ancient.