Heroes 6 - Discussion

I have the following problem. I finish the first mission with a hero leveled up to 10, and then the second mission starts, and the same hero from the first mission is back to level 1. This happens in all campaigns. I can't progress further because I need leveled-up heroes to complete the missions. Please help; I've been searching for a solution to this problem on various forums for a long time, but I haven't found anything.