Multiple levels will only go to the next one in stand alone. Place the winzones in your level pointing to the next one. When all are assigned, then build a stand alone and you should see they levels change.
In test game all you will receive is the level complete prompt.
Intel(R) Core(TM)2 Quad CPU Q6600 @ 2.40GHz, 2400 Mhz, 4 Core(s), 4 Logical Processor(s), 8gb RAM, Nvidia gtx660, Windows 7 Pro 64bit, Screen resolution 1680 x 1050.