OK, I guess the issue is probably that whenever the game starts a stage, it checks the first file that matches the name of the stage. On Windows, it is sorted by default in rising order, so it loads the "mont_saturne_00.lvl" file first. But maybe on your handheld it is sorted differently, and "mont_saturne_04.lvl" is the first file it sees!
I guess I can change that to check for a "*_00.lvl" file, or at least check "00" first, "01" if not found, etc.
I'll keep you updated, I don't have a lot of free time these days but it shouldn't be too long to try this fix and send it to you.