Once packaged, a persistent level is unable to create navmesh data properly if the navmesh bounds volumes are only present in its sublevels. The issue can be traced to the UNavigationSystemV1::IsThereAnywhereToBuildNavigation function. When the persistent level is loaded and this function is called, it can only find navmesh bounds in the persistent level because the sublevels haven't been loaded yet. As a result navigation data does not get created and it does not seem to be created either when the sublevel's nav volumes get loaded. You are able to workaround the issue by adding a Nav Mesh Bounds to the Persistent Level and it will generate all Nav Mesh in the sublevels.
This was reported and tested in 4.20.3 (CL-4369336). The issue was reproduced in 4.19.2 (CL-4033788), 4.21 (CL-4472090), and Main 4.22 (CL-4486869)
Results: The navmesh is not generated in the sublevel
Expected: The navmesh is generated in the sublevel.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-65526 in the post.