Most wear a towel. A non-insignificant number wear a towel in, but take it off once inside. I've actually seen very few bathings suits. If I saw a robe, I'd assume you were trying to make weight for a boxing match.
When you go to a dayspa and there is a steam room in the locker room (so single sex steam room) what are you supposed to where in the steam room? Your robe??? Nothing???
I've gone in in my robe- but I get so hot so quickly. Nothing seems a little wierd.