Content Protected Shortcodes not working as advertised

Hi,
As explained in all the Membership documentation (especially step 9 in this article) you can make different content appear by using shortcodes (such as [level1]). When I use this, instead of showing nothing when I'm not at level 1, it shows the Protected Page message. But it shouldn't. What it should do is show certain content for [level1] then more content for [level2] etc, just as described in that article.

Please help.

Thanks!