Home country is the safest place in current situation - I have no personal experience though. Also, visa stamp is not necessary if you have no plans to leave and re-enter the US. You are legal if you have J-2 approval (approval letter of I-539) from the INS.
Best wishes,
Jigesh
Disclaimer: Personal non-legal point of view only.
I have changed from H1 to F1 in the past. I did it in Canada a few years ago with no problem. However, I am not sure if changing from anything to J* would be the same.
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