In order to properly diagnose the cause of the issue, would you please place a working bulb into the non-working harness. This will test if the bulb needs replacement, or the harness itself.
Also, please double check the connections on top of the sauna to the lights. You will need to remove the large dust cover from the entirety of the top panel in order to access the connections at the lights. Please ensure all connections are properly fastened.
If have received a new Bulb or Harness, please follow the video below for installation: