When you finish a level for the first time, the navigation system automatically appears, letting you choose from the different exits available. You can cancel this navigation by pressing B, this is probably what happened. Just press START to bring back the navigation.
At some point early in the development you could make the navigation appear by hitting an opened exit, but this was annoying when you wanted to replay a level, so I removed this feature. In the full game there will be some 'maze' levels that you must hit the exit to get to the next level, but for the normal levels in the demo you have to press START.
Sorry for the confusion!