When using the launch option it does not include all the files i am assuming.
Open Level commands do not work.
However if you package the game and then transfer it manually to your phone then levels can be loaded.
Included the log for when packaging and when launching. link text
The ‘Launch On’ feature is meant as a way to quickly launch the current level for testing. If you want to deploy the whole game to a device, you should package your project instead. In Unreal Frontend (UFE) there is also the Game Launcher (can also be enabled in the Editor in the Experimental settings), which allows you to pick specific maps, but I’m not sure to what extent it works right now, because we are currently redesigning this user interface.