If you want to make a transition, you have to code that. It can be as simple as using a Go to Layout event, or manually destroying and spawning everything.
If all the levels have the same event sheet, then you either need to store the different level in the layout, (by placing the sprites on the layout, if your level is small enough) or put in code to detect which level it's on and spawn the right level via events. (You don't even need separate events for this method, it can all be contained to one layout if desired. Just destroy old and spawn new.)