People tend to fear that all kinds of nasty stuff will rush into their watches the moment the slightest opening appears, such as when setting the time. Rest easy - it just ain't so. Stuff only gets in if air flows in. Air only flows if there is a pressure difference to cause it to do so. Usually there is no difference in pressure between the inside and outside of your watch - even sealed ones! No pressure difference = no flow. Therefore, that horribly humid air will stay outside of your horological masterpiece for the short period during which you'll be setting the time.
But if you leave the crown pulled out and it is unsealed (unlikely) another process takes place. The humidity (by this I mean absolute humidity, not the kind given in weather forecasts) inside and out will equalize by a process called diffusion. This is less good. Picture the following:
In hot and humid Bahrain, due to an interruption, you leave your watch on the Hotel balcony for a week with it's unsealed crown pulled out. Just before leaving your room to check out, you spot the watch, throw it in your bag & rush off to the airport. I guarantee that there will be liquid water inside your watch before you get through your first Jack Daniels!
It's the drop in temperature that does it. Have a look at the psychrometric chart here (Opens in a new tab, click on the chart there to enlarge it). Let's say it's 36 deg C and 80% relative humidity (RH) inside your watch. Find that point on the curve for 80% RH. Now move to the left until you reach the 100% curve - this is the so-called dew-point temperature for a water content of 0.030 as shown by the scale on the right. The distance you moved is only 4 deg C. Any cooling after that causes condensation inside your watch and, as you know, water+oxygen+steel=rust ;-(