Does Malaysian immigration allow foreign students exit the country to immigrate to US with immigrant visa while still having a valid 6 months student visa ?

Seeking help from those who have gone through the same, or has knowledge in this regard.

I am a Foreign Student in Malaysia, Studying Masters, I have have 7 months remaining Student Visa.

I'm Bangladeshi.
My spouse is a US citizen, I have been scheduled for an immigrant visa interview at the US consulate in Kuala Lumpur, Malaysia.
In case if I'm approved with an Immigrant Visa to US, Shall I be able to exit the country and travel to US? (I want to return to MY before visa expires, to complete my Masters)

or am I required to cancel my current student visa and return to Home country and then travel to US?

Don't want to ask this to my university Visa department yet, as this will raise other issues from them.