To have game with all levels included and proper functionality - you should include all scenes (MainMenu.unity, 1.unity, 2.unity, etc) 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 all scenes here in proper order and MainMenu.unity should be on the first place with index 0 (as on image below)
If you don’t have all MainMenu.unity or any other scenes in Scenes In Build window – just drag and drop them from Project (from folder _Levels) window/tab to this window: