Consequent exits are, in my opinion, always a good idea. However,
I think they should not be that one level ends in the same room that the next one begins. Instead, things like a tram would be good, or a vehicle, or perhaps a tunnel entrance, or something of that sort. Remember that we do have an intermission map, and that the buildings are not immediately next to each other.
If these exits are implemented in a way that I can add representations of them to the intermission map as well, then let's do this. If not, then keep the buildings separate, without consequent exits.
For cool vehicle cutscenes, feel free to use the moving technique (but not the car) I developed in my car test:
http://twicerisen.ath.cx/rn/cartest.zip