Must I go to the Consulate indicated on the Approval for a Visa?

With the advent of the new PIMS database, all U.S. Consulates have the ability to view your approval information and supporting documents online. However, accepting jurisdiction over a visa matter is left to the discretion of the Consulate where you apply for a visa. Therefore, you could attempt to apply for a visa (in your situation) at a different U.S. Consulate either in India, or Canada.