You should definitely contact the embassy that you schedule the interview through, but typically if you miss the interview or if you don't bring all required papers, it can push your process back very far and they are very stingy on doing second interviews. For the embassy in Seoul, if you miss the interview you can't schedule again for several months.
I would either wait to schedule the interview until you have the paperwork, or contact the embassy you are planning on interviewing at and ask them about it.