It actually gets a bit complicated, since several effects are involved:
Evaporating water does require heat, which comes primarily from the hot stones. So throwing water on the stones does cool them down.
(This is where the claim one occasionally hears, that "throwing water on the stones makes the sauna colder", comes from. Technically it's true, if one considers the total heat content of the sauna as a whole. But since most of that heat is in the stones, and since you don't sit on the stones, that's pretty much completely irrelevant to how hot the part of the sauna that you do sit in gets, or feels.)
On the other hand, throwing water on the stones also significantly increases the heat transfer rate from the stones to the air: the evaporation produces a lot of hot steam, which will rise and mix with the ambient air in the sauna. So it is possible for the air temperature in the sauna to increase, even as the stones are cooled down.
Also, the introduction of steam obviously increases the humidity of the air, which will increase the rate of water precipitation on skin, and/or decrease the rate of sweat evaporation. (The relative importance of these two effects will depend on the baseline humidity of the air, which can vary quite a lot. My gut feeling, based on experience, is that in all but the driest of saunas condensation probably dominates, simply because human skin is so much cooler than the air.) In either case, the effect will be to transfer more heat to the skin, and thus to make the air feel hotter.
Finally, as the hot steam rises off the stones, it will push hot air around the sauna in front of it. While this increase in air movement is slight and transient, it probably does have a noticeable effect: as the hot air flows past the people in the sauna, it will act to disperse the layer of cooler air that forms over the skin, and thus increases heat transfer to the skin. (If you don't believe me, try blowing some air over your skin in a sufficiently hot sauna. It burns.)
The upshot is that throwing water on the stones increases heat transfer, both from the stones to the air and from the air to your skin. As long as the stones stay hot enough to supply that heat, the net effect will be that you feel hotter.
However, if you throw too much water on the stones, it's possible to "kill the stones" by cooling them close to or even below the boiling point of water. At that point, throwing more water is useless, and all you can do is add more firewood or turn up the thermostat and wait for the stones to heat up again. Or, if you manage to do this in a smoke sauna, go wash yourself and get dressed up because the sauna is over for the night.
Firstly, it would be better to use actual, accurately measured numbers than the human 'experience': the human body is a poor thermometer and the mind plays tricks on us.
But that hot water droplets lose heat and thus cool down in cooler air is an established fact and a consequence of the laws of thermodynamics.
Regarding your three first bullet points, despite some limitations you point out, those do not mean a hot droplet of water doesn't cool in air: it does and partly in accordance Newton's cooling law.
As regards work done by the droplet (overcoming the viscous drag), if anything that would lead to heat generation, not cooling (but the effect is truly minuscule).
Kinetic or potential energy of the droplet have no effect on the droplet's temperature. Temperature is simply a measure of the average speed of the molecules of the water and that is not affected by these energies. Spinning water in an ultra-centrifuge does not make its temperature rise, for instance.
You have however overlooked one major cause of heat loss: evaporation. Your shower 'steams up' because hot water evaporates and that costs energy, known as the Enthalpy of vaporisation.
Millions of tons of water are cooled this way everyday in power plants world wide: the cooling towers drop hottish water from the top of the towers and evaporative heat cools down the water (the evaporated water escapes as steam clouds).
If your shower has been in operation for a long time and the bathroom's temperature is equal to the shower head's water temperature and the air is saturated with water vapour, then no cooling of the shower water would take place.
Best Answer
It is due to the convection in the shower, as mentioned in Steeven's comment.
The water is significantly above room temperature. Obviously it is going to heat the air (and you can feel the warm air/vapour yourself).
The air in the shower is both warming up, and becoming more humid. Both of those factors lower the density of the air, making it raise up.
When the air flows up, it creates a low pressure zone in the shower. Once the pressure gets low enough compared to the room outside, the pressure difference pushes the curtain into the shower until enough air can get in to account for the air lost to convection.
Warmer water will cause greater convective flows, so the effect should be more noticeable.
Disclaimer: Note that the heat and humidity are not the only cause of convective flows; and convective airflow is likely only part of the situation. As some comments (and the wikipedia page on this subject) mentioned, the flow of the water downwards may actually generate an air vortex in the shower. This vortex creates a low pressure zone, which drives the convective process regardless of water temperature.
There are also other potential reasons, and without experiments and potentially (multi-physics) simulations, it's very unclear what the primary cause of this phenomenon is.
I still feel this answer properly addresses the second question about why warmer water makes the process more noticeable.