Weather proof a box on a wall with flashing

Josh,

All the advice given is for a code compliant install. Ultimately, you and your buddy decide whether to take the advice or not.
390 degrees of bend isn't a danger. But as Tolyn mentioned, good luck replacing the wires should you ever need to. Your tight 90 is not a danger either.
You might get away with no expansion joints. Having none is not a danger, but the possibility of a connection ripping apart is real.
The potential for your wire to degrade faster is real. Again, NMD90 was not designed to sit in water while freezing and thawing.
Residential lighting is limited to 15A. Having a light on 30A breaker gives potential for the fixture to see more current than it is rated for. Potential danger there.
Water and electricity don't mix. Not having your devices protected from the weather, and not having proper seals on your connectors is a very real problem.
Again, the choice belongs to you and your friend. If you're gung ho on building a box around everything, that is fine but at least seal everything up well and make sure everything is bonded (grounded).
The last thing I will leave you with to mull over...
You now know what needs to be done to bring your project up to code. If you and your friend leave everything as is, build a box, and walk away, how will you feel if a fire starts or your friend or his/his friend's kid takes a hit because wires degraded, water got in somewhere it shouldn't, the light became overloaded?

 

Does a separate breaker need to be added for the light fixture too then? You need to install another breaker panel at the sauna..?

 

Yes, you need a subpanel at the Sauna. It will have breakers for the Sauna and the light.

Since you need three electrical devices and are concerned with looks I would suggest a wood cabinet moderately sealed to the building with caulk but inside the cabinet use weather proof devices so you don't have to be worried about how water proof the cabinet is.

 

You will need an outdoor panel. One like so:
Siemens Warner Model 21 100 AMP Outdoor Load Center LW102NL | eBay
Since you have overcurrent protection from the breaker in the house, you do not require a main breaker in your outdoor sub panel. So long as your panel is rated for your breaker amperage or higher, you can use virtually anything you like. Shop around online, call some distributors, you should be able to find a cheap one.
Also, the light inside should be covered in case the bulb shatters. A cheap plastic jam jar light will suffice.

 

The light is a proper sauna light fixture and has a cover.

I'll get to work. Thanks for all the input guys

 

Good luck with your project. If you have any questions feel free to pop back in. We'll try not to ruin your day.