What are Retro levels?
Retro levels are "secret" levels that can only be found by finding a yellow "game cartridge" in certain levels, as seen below (the picture corresponds to 1-4, which is Windy Interlude).
These are essentially "bonus" levels. They do not affect what score you get in the level you can find the portals.
Once you find a "Retro" level in a certain level, you can always revisit it on the main map screen by pressing "K".
There are also 25 of them out there. Collect 'em all!