In the UP of Michigan which is populated with folks of Finnish descent, the preferred wood species is white cedar. White cedar is extremely rot
resistant, lightweight, and aesthetically pleasing. It is also a traditional building material for canoes.
From a heat transfer point of view. If one touches a bar of metal versus a block of wood that is at 180 deg F with bare skin there is a dramatic difference in the perceived temperature between the two. This is because the skin cools the top layer of the wood very quickly, the thermal mass is low. The effective top layer of the steel
has a higher thermal mass and it conducts heat very quickly from the depth
of the steel
so it does not cool down as quickly as the block of wood. It may even give you a first or second degree burn.
Using this example, the preferred wood species for the sauna bench would have a minimum thermal mass so it would be a lightweight species like cedar or aspen. Teak
would probably rate as one of the least desirable. Lightweight also means it does not conduct heat as well as a denser species. With cedar or aspen your butt would not get a burned and the bench would not feel as warm. At our western cabin
we used redwood for the benches and they are noticeably warmer even though redwood is not very dense. Also, the redwood tends to darken and not wear and look as nice a cedar.