We just finish level 1 and the heros left the dungeon via the portal, and have been transported to level 2. According the the rules, as OL I set up the next dungeon, and the hero place their figures, then I place the dungeon monsters, we assumed that the heros then moved, but this means that as OL I am actually missing a turn, ie no threat in my turn as the hero's move from level 1 to level 2. Is this right?

This is the way we have been playing it, but thought I'd check in case I should be getting some more threat

Yes, that is correct. The heroes essentially get two turns in a row.

Thought so, darn bit of extra threat would be nice. Oh well just have to kill them more slowly.