Exercise suits which trap body heat cause rapid weight loss through perspiration. Temporary fluid losses rob the body of important mineral salts and water, but don't cause permanent weight loss or reduce body fat.
The inability to shed body heat while exercising could trigger serious heat-related illness. In extremely hot conditions, with or without the sweat suit, people burn calories slightly faster than in comfortable temperatures, but not enough to aid a weight loss program.
Working out in a sauna suit could cause rapid dehydration as well as heat exhaustion or heat stroke, especially if exercisers combine the suits with workouts in hot weather.
For people on a weight-loss program, sweat suits represent a health risk and create no lasting benefit.