You'll find there are a lot of things that are not advised for diabetics, right down to cough syrup! And the annoying part is they don't always explain why, so we can't decide for ourselves if the warning actually applies to us or not. Half the time it's more the company saying that "we're not experts in diabetes, so if you're diabetic and using our product we can't say whether it might be a problem or not, and we don't want to be responsible if it is!"
In the case of a sauna, if memory serves it's because the body and the skin being warm like that can cause increased circulation which can make insulin be absorbed more quickly and more efficiently. And you are more likely to be low anyway just after a workout. I'm not a health professional so this is only my opinion of course and not necessarily correct - but if it were me I would go ahead with it and just make sure I was prepared that I might have a hypo (so make sure to have some hypo remedy on hand, and be attentive to how I'm feeling, i.e. no falling asleep in the sauna! haha)