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 that was in 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 haven't found anything.