So since you selected CP when your DS260 was submitted back in July, it looks like KCC is expecting your CN to become current in Nov with the interview expected to take place in your home country. It can’t be in a 3rd country even if you selected that option on your DS260 form if you’re not residing in that 3rd country.
No one can guarantee you will be re-admitted back into the US if you travel out to go book your DV interview appointment as requested, especially since you’re not disclosing the country you’re required to travel to. And if you have that much concern, maybe you should re-evaluate your decision to process CP and switch over to AOS. Of course you’ll need to reach out to KCC to let them know you wish to switch, and hopefully they will be able to retrieve your case file from the embassy if it already got sent.