I don’t know if there is a right or wrong way to do this, but this was our approach to create seamless lightmap transitions between levels for interior and exterior architecture, don’t know if it translates to all level designs but -
Create a Lighting level with nothing in but your lights and add your lighting level to your individual map levels (which sounds like you did already)
Create proxy objects for all your levels, with low res lightmaps, only architecture no props ect. and add these other proxy levels to the level you’re building lighting on, so they cast shadows and bounce light correctly. This makes the lighting as if each level is affected by the other levels, but the benefit of lower render times as you can do the lighting in small chunks.
Saying that though, it’s possible in UE4 to light multiple sublevels at the same time, so it seems like there’s maybe something wrong with your attempt to light a whole persistent level.