Frankly, if you are concerned about the electric field, DC is not necessarily safer than AC. Many electrically induced phenomena are much reduced with AC because the average (not RMS) field is zero. For things with time constants on the order of 10s of ms (which include many biological phenomena), the effect of AC is reduced, but DC can have a strong effect. The safety issues of arc faults mentioned previously is one aspect of this. Corrosion is another, which you might want to pay special attention to in a hot, damp environment.
The other posters have it covered, though. 220 VDC with a lot of amps behind it, like you would need to drive a heater, is a huge safety hazard that is really difficult to mitigate. The DC induced corrosion in a sauna is going to make the chance of arcing a when, not if, question. When it fails, the arc will likely burn the whole thing down, including those inside. This is far more hazardous than any line-frequency AC fields.
Electrocution hazards are also worse with DC, though Edison tried his damnedest to show otherwise.
John