I doubt that the hat is mandatory in Russia or Latvia, but it makes more sense there, because they run high temperatures.

No, there's no official dresscode on this in Denmark, however each place usually show their rules on signs. There's no rule against a gimp mask, but it might conflict with other rules.

The entire chart is actually a bit misleading, because the Finnish sauna is completely different from the German. The way they're used aren't comparable.

In Denmark it was first imported from Finland in the 1970s where people built saunas at home. Most of these are gone by now, because it's a waste of space in a family house if the family don't use it. The public pools usually have Finnish saunas, but at too low temperature. Wellness places try to make it better with higher temperatures but at the same time they've introduced a lot of the German rituals instead of the Finnish. More recently it has become popular to have winter bathing clubs. They usually buy Canadian barrel saunas. So that's why the danish sauna situation is a cultural clusterfuck.