-Yes. If you leave U.S. while a change of status (COS) application from within the US is pending, this will be considered as an abandonment of the COS application. So, you can get the H-4 visa in China to come back. But you had better bring the filing receipts for I-539 with you when you apply for the H-4 visa. You might need to show this to the Visa Official that you were lawful presence in U.S. without gap if they ask you to do that.
Do I have to wait until I receive the approval notice in the U.S. (usually takes 3-6 months) before I am allowed to re-enter U.S. again?
-No, you can come back to U.S. anytime after you get the H-4 visa.