Every .wdl file used by the second level has to be included in the script which runs the first level.
Basicly you have to think differently:
You run one script and not a level.
The script you run loads the level etc.
Thus I recommend to have one wdl file with one main function and all the stuff included which is needed through out the whole game.
The main function simply just loads the first level and another function (called by an entity e.g.) loads the next level.