Depending on the curve you are trying to achieve the grooved face can face either in or out. In either installation it is important to fill the grooves with mortar prior to tile installation.
If the grooves are on the dry side of the assembly, it will still be necessary to seal the seams, but an additional membrane should not be necessary.
Stud spacing should be no more than 16" o.c. I would also suggest supporting the entire length of the curve at the top and bottom at minimum. 2-3 intermediate supports are appropriate for 8' tall assemblies. These supports can easily be made using 1"-2" thick Kerdi-Board cut to match the curve and attached using Kerdi-Fix. You can also glue multiple thickness together if you do not have thicker Kerdi-Board available.
Please note that the Kerdi-Board is only suitable for intermittent use steam showers and not for constant use steam rooms. For a continuous use steam room, you will need to apply the Kerdi-DS membrane.