I reproduced this issue.
Full description in text: Error loading level - No next (level) selected in file.
Press Fire to continue. After that, it takes you to the menu.
I couldn't insert a screenshot here.

Now I'll describe it step by step.
I play Jazz 2 through GOG Galaxy.
When I do a clean install of the game (delete it completly and install over), it asks to update to the latest version, which is currently 6.6a, dated January 10, 2026. Everything works fine with this build: I've played from the very beginning to the secret level and beyond.
Then I made a save before exiting the Gargoyles Lair level for testing.
Then I checked the cache through GOG Galaxy, and it redownloaded the old files, just like before the update?version 6.3, from September 2, 2025. After the first launch, the game again asked me to update to version 6.6a, and after that, the level Gargoyles Lair crashed on exit. The all files were still there. But something wrong.
It turns out that verifying the game's integrity through GOG Galaxy breaks some files. Now, to restore functionality, I have to completely delete all files except the saves, install the game from scratch, update, and never verify the game's integrity again.
The problem is that the GOG Galaxy client periodically runs an integrity check on installed game files. The day before I wrote this post, Jazz2 ran through an integrity check. That's why I couldn't exit the level. That's how it works.