Issue with Wii Worms: Battle Islands, can't unlock locations after Nuclear Test Site in Campaign mode?

Has anyone else had this problem?
When playing Wii Worms: Battle Islands, in Missions -> Campaign mode, I have played the four games in the 'Nuclear Test Site' location, winning them all with gold medals, but when I go back to the world map, none of the other locations are accessible (Jungle Outpost, Desert Installation, Arctic Station, Underwater etc) - they are all greyed out and cannot be clicked on.
Have I missed something? Google is not turning up any results.

Yeah. Do you see that big island between the others, with the sunken ship in its center? That's the 5th mission, a boss battle, which you have to complete in order to move on. Geez, how did you miss out on that? Because it's nearly impossible to miss out on it, especially with the chief of staff elaborately explaining you how the campaign mode works.

Anyway, I hope this helps. Well, you bet it does :p