The sauna scene was for characterization purposes, like most Ciri dialogue choices.
- level of prudeness (towel or not, reaction to Skjall in the stables)
- amount of importance she's assigning to her time with the rats (tattoo, that relationship with the other girl) ("I was young and drunk" vs. "that was someone special and dear to me")
It's more intimate than the choice between "I was taught how to fight at Kaer Morhen (witchers are awesome!)" vs "I learned how to fight on the road (witchers are less important)", and CDPR obviously thought that the players would like to have a choice about these more intimate details of the Ciri persona. What better way to dig into this than a chat with some nosey bored girl and her mum? They clearly didn't want to sexualize Ciri by giving her some nude bed scenes with some random NPC, after all, so that tattoo would have never come up as a topic. And Skelligers are like Scandinavians, and there's saunas in Finnland, and they had already established the ocean as being "ice cold and totally deadly", so some warming up might've been required after an extended bath in the sea (for non-Geralts, that is.)
I didn't really mind it, and I've toyed around with the different personas for the different endings that I aimed for in my playthroughs: A "Ciri is gone" ending fits quite well to "witchers were not important; rats were awesome; yes Gretka, I am lost; let's go ahead and waste time snogging Skjall instead of hurrying; don't be concerned about Skjall's family,..."
A "Ciri witcheress" ending fits other choices better.
But well, yeah, I can see how non-bookreaders might find this whole topic weird.
"Tattoo? How should I know where she got that? Preferring women? What the hell?