Yes, after I shot the drones, i were blank about what do do next. An instruction would be better. Maybe there was and sorry if I overlooked it.
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Yes, as one commenter below has said, you have to keep going left after every level to deliver the package. If you hovered your mouse over the package drone it does say this but I guess it is not clear enough.
Sorry if this inconveniences you but I strongly recommend replaying the game again with this info as you’ve basically missed like 90% of content.