I avoid taking my watch in a hot tub or sauna or anything like that. High temps are not good for the battery and could also loosen up the seals and allow moisture in it.
Why risk it? Steam can penetrate past the water resistant seals or compromise the internals. As matter fact, that has happened to others with steam rooms/saunas, I personally wouldn’t need my Apple Watch during that time frame, nor is worth ruining for those considerations.
Well take it this way... When iFixit open an Apple Watch they apply heat to soften the adhesive and remove the screen. Therefore, heat is not your friend for the seals or battery.