Yes you might have problem at POE. Since you are married to a U.S citizen and you are on f1, which means you can change ur status anytime. So to prevent that they might give you a problem. 

Best option. Apply for a change of status, apply for a travel document and leave. But best option is to get your green card, which might take u 3 months and leave.  ....Don't take chances...
good luck..