Persistent Level doesn't work, how do it good ?

I want to have a music which keeps playing when opening a level.
I tried to add a persistent level, I have added a level with only an actor to play the music.
In the Main Menu, I have added in the “levels” menu on the editor the persistent level using the mode “Always loaded”.
The problem is the persistent level is only loaded on the main menu.
How add a persistent level correctly ?