I don’t have experience with the company or that sauna - though it looks pretty low on those pictures, and it seems to have two rows of benches roughly at the heights where a finnish sauna would have the first/second row, so the third one is missing.

As for the connection, you can have the cables laid inside the walls - but unless somebody thought about that and prepared a duct that’ll mean cutting a deep slit along the complete route, putting the cable in, and closing the wall again - it’s dirty, loud and expensive. So unless there’s a good reason for putting the cables inside the wall on top is often the more sensible option.