Open the desired level you want to open the world settings for, and then go to your main UI bar in the top middle of your screen. Click on Settings, and then go to World Settings from there. If you are having to ask how that is done then I’m like 95% sure that you don’t have things setup correctly. If your mod is kicking you back to the main menu then plain and simply you do NOT have things setup as they should be. I know this because I had the same problem originally.
Things to check: Make sure you are using the CORRECT PrimalGameData_BP_Custom. Make sure you do not have ANY gamemode settings selected for the World Settings of your .umap. The only place you should choose the game mode would be under your PrimalGameData_BP_Custom. And the game mode for TheIsland would be ShooterGameMode (or custom one).