Thanks for the reply.
Unfortunately, the load state is there in order to regenerate the shields at the start of a new game.
In Object Type Properties Shields had to be set to a Global YES. This way the shield damage continues into the next level.
Then on restart by hitting "S" it needs to load a save state to regenerate the shields.
Also, I tried putting a play sound in event 1 to ensure it was getting to the load Check Item "HighScore" exists. And it does play the sounds, so in theory it should seeing HighScore exists.