Comment by nabla9
I'm a Finn so I'm biased.
From general systems biology perspective everything that moves body metabolism away from it's normal state for short time seems to give benefits, exercise, cold, heat, hunger, ... allostatic load that is not chronic is generally good.
My hot take hopeful guess is that heat shock causes upregulation of protein degradation / chaperone activity, thereby disrupting protein aggregation involved in AD, PD, et all. One can hope