Couldn't find any chapter or keyword on this on how a Map Entity has to be build. In earlier versions, don't no which versions, because I didn't use any WED after version A 6.341 until December, you got an option "Build as Map Entity", or something like that.

I built a wmb from a set of models, and added it as Map Entity in another level.
After hours of testing, when the engine shut down again and again, I found the reason.
The engine accepts a wmb as a Map Entity _only_, if it is in an empty level.
I saved it as Prefab, means, not a wmb, but a wmp. Is there any way to save as Map Entity?

For saving it as a Prefab, I don't have to build anything, I simply have to select all the models that I got in my wmp and go to Object --> Save Prefab...
Later I can load it in another wmp via Objects --> Load Prefab...

This Map Entity consists only of models, but that didn't cause the shut down. As soon as I saved it as Prefab the problem was gone.

As mentioned, searching for Map Entity or Prefab in the Manual doesn't lead you anywhere.