The air gap is a safety feature, allowing fresh air to be drawn in from under the door, and to exit out of the ceiling air vent. The gap is intentional, and ensures the sauna passes certain safety requirements set out by Edison Testing Laboratories (ETL):
Edison Testing Laboratories (ETL) is recognized as an NRTL in the United States and, in a similar capacity, as a Testing Organization and Certifying Body in Canada by the Standards Council of Canada. A product bearing the ETL Certification Mark is determined to have met the minimum requirements of prescribed product safety standards. The Mark also indicates that the Intertek ETL Certification Mark manufacturer’s production site conforms to a range of compliance measures and is subject to periodic follow up inspections to verify continued conformance.
Additionally, it is worth remembering that an infrared sauna is not heating you up via the air, but directly through infrared wavelengths penetrating your body. Cool air entering through the gap around the door will not impede the therapeutic benefits of your sauna, but a towel placed along the bottom of the door can block a draught if necessary during your session.
Please see the attached PDF on understanding the temperature of your sauna and for further information on the above.