You should have the address of the same college in your I-20 that is in your student F-1 visa. In order words the College should be the same in your I-20 and your F-1 visa or there might be a problem while changing the College address at the Embassy. If the College names and address don;t match up in your F-1 Visa and your I-20 there will be a big problem while you try to enter the US at the entry port or even on your way in transit countries. Chances are you mgith not be admitted in the US because of that poblem as the Immigration Officers are more concerned about such minor issues nowadays. Also, in the F-1 Visa form that you fill out in KTM before applying for the Visa, there is a testimony that you have to sign that states that you will not change the college for which you are given the Visa for atleast a semester. Even though you become lucky and are allowed to enter the country with that diference in college addresses there is a chance that the problem might arise in future when you will be applying for a Green Card or any Government Isuued legal papers. So, the best bet id to come here in the I-20 of the college in whose name the F-1 visa has been issued. You do not need to go to the embassy for that. Just use the I-20 from that college which, you probably already have. Good Luck!