My choice would be brick. I just don't care for the other options. Good to see you removed the murdered crape myrtles. Why do people do that?!

Plaster. And you have a whole wall to tear out and fix.

Hello, I'm hoping to get some advice on what material the back wall is in the first steam room? The only thing I can find is a dark finish/wax product and that just doesn't seem right to me given the heat it will have. Thank you!

I'm normally a fan of stone walls, but given that your retaining wall abuts a large mass of natural stone, I think applying thin stone will likely appear to be a poor attempt at matching. I suggest you use one of the materials installed (wood or fiber-cement siding) on your home or corrugated metal panels. If you'd like to give a respectful nod to Frank Gehry's work, go with the latter and use only duct tape and super glue to install them. The caps on top of the wall will need to be modified to account for the thickness of whatever material you add.