Determining if a level exists
A few  comments:  


You should move this code from the AddButton_Click to some business logic class.  
Maybe you should add some validation of LevelTextBox.Text, before using its value.  
You should split this code into different methods. 


  You have three responsibilities here:     
  
  
  Find out  if the level exists at all.   
  Find out if the specified level already exists.   
  Create a new level.
  
  
  The fact that all three actions use the same data doesn't mean you need to put them in one method.  

Maybe I get it wrong somewhere, but I can't understand how this code checks if the level already exists. I can't see how the code will ever get into the MessageBox.Show("Level already exists"); in both places.