I spend a lot of time in Finland, where we go from boiling hot sauna to jumping in the snow (Or breaking the ice and jumping into the nearest lake!) I would say that if you find the cold part worrisome, your sauna isn't hot enough. We usually have it cranked up to around 100C, the first round is a bit shocking, but after that it really feels amazing. But I have noticed people doing the sauna at a much lower temperature and keeping the cold part the same, which isn't going to be nearly as pleasant. If you get a chance try it with a properly hot sauna, and when you get to the cold part, it is going to feel so wonderful you won't think about it being too cold.
Really, 100C? Your proteins start to disassociate at around 45, 46C. That means you start making soup out of yourself at half the temperature you are claiming. Now, I like a HOT shower, so my water heater is set to right around 49C, and the water that gets to the shower head is right around 43C. And that can be really uncomfortable enough. I dont think I want to boil myself alive, though.