First of all, if you want to link something, you can right click the link and choose "copy link location" (or something similar) on the menu that pops up. Then paste it into a url tag. I had trouble with this too, when I was still a net neophyte.
Secondly, the custom object looks okay, but on screens where there's a lot of them (like the final screen) Knytt Stories gets a bit stuttery. You might want to make one big custom object in cases like that.
Also, there's a wallswim accessible on the second screen: if the player climbs one of the overhangings, she can get stuck in the wall of the third screen. Also, the player can jump off the final screen's right side and hit a void; to fix this, try putting a screen full of water to the right of the final screen.