Anyway I maked new simply experiment with new file:
1 - I maked new level
2 - I put one cube in the level with one mld, without script
3- I saved and builded
4 - I maked the second new level with one cube, a sprite and a second mld,without script
5 - I saved and builded
then I opened my first new level and I put the second level with ADD Map Entity, always without any script.I saved and build. Run but the problem is the same:I see my first level with his mdl and the second but witout sprite and mdl attached.
Where is the error?

Thanks