It's most likely that it is only for a target heart rate to try to keep you in, and that the levels do not affect the reported calorie burn.
If you're doing something you consider very vigorous, it would try to keep your HR up more, beeping at you to keep it up more than if you're doing something relatively light where it expects you'll probably maintain a lower HR. In that respect, you'd probably burn less on a level 1 thing than a level 3, but purely because level 3 stuff actually is harder to do!
Try doing exactly the same workout (a 10 minute walk would be adequate for testing) on both level 1 setting, and level 3 setting. Chances are it'll report a very similar if not exactly the same burn, but be more naggy at you to keep it up on level 3.