Re: Create new stages
Check this post, which I suspect is the same issue. Essentially, you need to make sure you have a collider mesh as the ground plane, set in correct position, and layer set to Ground.
Re: Create new stages
Just make the stage in your 3D software of choice. Check it's the right size by scaling it with the Training Room in the scene. Once you're happy with positioning, make sure it has a ground plane in the same spot as the Training Room's. Easiest way is to just copy the one from the Training Room.
When you have prefabs of your stages, add them into Global Settings | Stages, and they'll be available at the select screen.
Re: Create new stages
make sure when you setup a level, your ground is at 0,0,0 before creating a prefab.
If the ground isnt at zero your characters will jump / fall.