After a week of playing and getting my character up to level 40, I logged in and my character has reverted to the start (level 2 with no gear).

When I look in the Characters folder in C:\Users\lukas\Saved Games\Mojang Studios\Dungeons, I can see four files including two dated yesterday. But when I load Minecraft Dungeons, there were only two heroes. So my theory is the character is there, but it just won't load.