kaamde, Consulate entry is mandatory. This is because in case if the change of status or change of employer can not approved by immigration then they will have to approve the h1b for consulate processing. If you already here in US, then you would need to put your home country's nearest consulate (for nepal its kathmandu only). If you choose not to travel to nepal for stamping, then you can put canadian or mexican consulate. It has to be filled out anyway