I personally don't use SMBX 1.4.4 and I usually stay away from world maps in my projects, but I'm pretty sure this is possible. What you'll want to do is create a small level for the intro to take place in. Under "Events" there should be a pre-made event called 'Level - Start' or something similar that runs at the beginning of each level. You can set a message to display at the start of the level by typing something in the message box with this event selected. In the world editor, go to settings and enter the name of the intro level + .lvl extension under "Auto Start Level". When you are setting a level exit you get the option to enter map coordinates, so enter the coordinates for wherever you want the player to start on your world map and put the exit somewhere. It won't be 1:1 SMW since the player will have to exit the level themselves, but it could still be pretty cool.
And once again, I'm using 220.127.116.11 as a reference so take this all with a grain of salt.