According to its article 1.(j), Regulation (EU) 1186/2015 with regard to the energy labelling of local space heaters does not apply to sauna stoves.
According to Article 2, definition (15), a sauna stove ‘means a local space heater, incorporated in, or declared to be used in, dry or wet sauna's or similar environments’. As a consequence, sauna cabins are not in the scope of Regulation (EU) 1186/2015 and consequently do not have to be entered into EPREL. The same is a priori true for infrared cabins, which can be considered to be part of the ‘similar environment’ in the above definition.
However, a registration would be necessary for local space heaters used in the sauna and/or infra-red cabins, if they could also be used in another type of environment (such as a standard room heating means for room heating in a dwelling).
Disclaimer: Please note that the European Commission cannot provide a legally binding interpretation of the EU legislation, as this is the sole competence of the European Court of Justice. Any remarks from the European Commission services are without prejudice to the position the Commission might take should related cases arise in a procedure before the Court of Justice.