A form I-797 is not a visa. It is a notice of approval. It may NOT be used in place of a visa. (Not 'risky'. Just impossible).
It is unclear from your post if you now have a visa stamped on your passport. It is not unusual for the consulate to retain the I-797 if they stamp a visa on your passport. If you have a visa, whether you have the original notice of it's approval with you or not is usually irrelevant.
However, a photocopy of such an I-797 MAY be required in certain rare cases while filing for other unrelated immigration benefits, and it is useful if you have a copy should such a need arise. Having the original is always best, of course, but not a disaster if you don't.
The I-94 you will receive upon entry into the US with a valid visa is more important.
The original I-797 is important if it is an approval notice of an extension or change of status that was granted while you were in the US, in which case it will have an original I-94 attached to it, which is required to be surrendered at port of embarkation, upon exiting the US.