Trainers have told me that gym's are typically loaded with germs, perhaps the steam room is a positive, but I've been told that you often can get infections in a Jacuzzi, so I really don't know going to a gym where many people are in and out daily is worth the benefits the steam room may have.
If steam truly has tha great a benefit, more of us should probably turn our showers into steam rooms/showers, I gather it isn't that big a remodel to do it.
Gary