I'm actually starting construction on my sauna in about 2 weeks, the only reason I'm building it is for my illness. Anything that makes you sweat will help detoxify your body, but from the reading I've done I get the feeling that steam is better, heres some reasons why off the top of my head...
1. Loyly, the water poured on sauna rocks vaporizes very fast, creating negative ions in the process, which have a calming, healing, benificial effect on the mind and body. Lots of literature on neg. ions and it's a fact that loyly produces it.
2. Very hot saunas can burn your nasal passage and airways, humid air lessens the likelyhood of this happening.
3. The additional moisture on your body helps you bathe a little better, obviously, rather than just bathing in 100% sweat. Maybe you don't "bathe" in your sauna but a whole lot of people go in their birthday suit with a bar of soap.
4. You can regulate the temperature with loyly (steam), when you throw water on the rocks the temperature will rise immediately and you can control it to your liking.
Incidentally electric heaters produce positive ions, wood fired rocks and loyly is a sauna, anything else is a cheap american rip off and shouldn't be called sauna as far as I'm concerned. You seem a bit confused as to what a sauna is, it's not "dry heat", it's a finnish word and it involves a liberal use of loyly to create steam. A russian banya would use even more steam and I think even more heat. There are some cultures that use dry sauna (turks I think?)... but to look at the healing powers of sauna in the context of the bastardized american concept of it is starting on the wrong foot. Many people put IR lamps in a cedar box and call it a sauna, it's a joke.
Here's some links if you want to read more: