it's quite the contrary, we (finns) throw water to stove, which boils immediately forming steam (löyly) which fills the 'sauna room' (löylyhuoneen).
Humidity is well over 80% there in well warmed up sauna all the time and when that water is thrown (half a pint of more) it will quite rapidly go above 90% humidity.
If you have been in a place where someone calls it sauna and it's unlike that, it's not a proper finnish sauna, not even close.
I'm not sure how exactly the (relative) humidity percentages translate to human perception, but from the experience as a Finn, the effect of humidity varies a lot. When you toss water on the stove, there's your familiar (for /. audiences) heat pipe effect: evaporation at the stove, condensation on your skin, meaning a rapid burst-mode transfer of heat into you. But this only lasts a couple of seconds, and you'll generally spend minutes relaxing in the moderate heat in between tosses.
The ideal temperature and humidity also depends heavily on the size and build of the sauna. Smaller ones are generally fine with lower air temperatures, presumably because the heat pipe effect will be better focused.
Of course, ideal humidities and temperatures really come down to preferences, and the watering frequency also provides a lot of control, there's really no need for extreme heat if that's not your thing. IMHO, the sauna is first and foremost about relaxation, even a kind of meditation, and presumably that's an important factor on health.