Hi Antony! I run a membership site using WPCourseware, and it does the same thing. But there should be a setting that specific levels get access to specific courses within Learndash. It might be more of a Learndash question than an S2member question as a result. Usually the course plugin has some sort of additional integration plugin for S2member specifically.
For example, for WPCourseware, there is a free add-on to integrate with S2member, and in there I specify the courses that each level gets. In addition, I protect the course pages with custom capabilities so that even though the clients have access to the courses, they can’t actually see them unless they have that custom capability.
Hope that makes sense!