When you are applying a new F1 visa or re-apply/re-new your F1 visa after receiving the first/second NL and waiting for the interview:
You are risking of rejection of the F1 visa because you have shown an immigrant intent by sending back to KCC the DS-230, DSP-122 or/and the I-485 (for AoS). When you are applying for an F1 visa, you must state in the DS-156 that you have applied an immigrant visa before. Saying that you applied an immigrant visa might cause your F1 visa application to be rejected. That's is the risk. You won't loose your chance to get interview for the DV.
So..basically, when you sent the DS-230, the DSP-122, or/and I-485 back to KCC, you are closing your option to ever get non-immigrant visa like F1, B1, J1, etc in the future. I know that this sounds unfair because we got selected to win the DV by the U.S Government choice, not ours, but this is how the U.S immigration system works.
When you already have an unexpired non-immigrant visa (F1, B1, J1, etc) and are being interviewed for the DV visa:
At the DV visa interview, before the the U.S consular/staff starts interviewing you, He/She will take a look at your passport and will cancel all your existing U.S non-immigrant visa on the passport. Usually with a big stamp saying "CANCELED WITHOUT PREJUDICE." The reason is because you are not suppose to have any immigrant intent when you have a non-immigrant visa, and going through the DV interview clearly shows an immigrant intent.
There are many questions that still we don't know about this. I have not seen people documented cases of getting rejected for an F1 visa after failed to obtain the DV visa or even cases when people are rejected for an F1 visa when they are waiting for DV interview.
For now, we can only assume what can happen.