To have game with main menu included and proper functionality - you should include both scenes (Menu.unity and Level.unity) to build.
To do this:
Choose File -> Build Settings... in the Main Menu or just press Ctrl + Shift + B
In the Build settings window (below) check Scenes those already In Build. You should have both scenes here and Menu.unity should be on the first place with index 0 (as on image below)
If you don’t have all Menu.unity and Level.unity in Scenes In Build window – just drag and drop them from Project window/tab to this window: