That is unfortunate, I don't see why the level select wouldn't work on non-windows versions, but I don't have a way to test those. It should be saving your level progress to a JSON file after each combat, then enabling the level select on the main menu.
Viewing post in Burgeoning Bloodlust (V1.0) comments
Could be something with the file system not letting it save.
One idea going forward if you're interested could be to also include an html5 build for download. At the end of the day all the different builds are really just little web browsers wrapped around the web version after all, so an html5 build could be run locally by players on whatever browser they have.