When will such possibility/danger come? (1) If I started applying for J or H and he shows up in American embassy, this possibility might occur. -He can leave US now. Your change of status has nothing to do with his leaving (he does not need to file change of status in US). After your status is approved e.g. you get the H1 status, you just send him your H1 approval notice (incude your recent paycheck stubs from the h1 employer, if any. If have no yet, does not matter, not need it) and then, your son can use your H1 approval notice and his birth certificate to appfor for the h1 visa. That is all. By the way, he can apply for the H4, F2,or J2 visa only after you get your new status H1, F1 or J1. If you can not get such a status yet, he has to wait.
(2) What about the fact he got his F2 visa and I started application?
-If your status is F1 now and change of your status to J1 or H1 is pending and he get the F2 visa during your change of status pending, you has to enter US before your change of status is approved and then, file application for change of his F2 status to J2 or H4 (correspondent to your new status) after he enters US using F2 visa. If your change of status is approved before he enters US, his F2 visa is invalid and he has to apply for a new visa such as J2 or H4 visa (correspondent to your new status) to come back.
