So one use case for multiple levels in the same project is to test the functionality you’re working on in isolation.
You’re right, we don’t currently have the ability to transfer players between levels, unfortunately. I personally hope we see this introduced sooner than later, but the roadmap that was shared during the State of Unreal talks makes me think it might be a while (possibly 1-2 years) and I am really, really disappointed that this critical feature (for some games) is not being prioritized higher.
FYI: There is a Level Instance and Level Loader device, and an API to work with them, but they’re not available in UEFN and they’re not actually levels but subsets of levels that can be captured inside of a volume and subsequently loaded inside of a level, so the given names are technically misnomers.