kalyani

no... i asked my college to defer and came a year later on my green card. it's not possible to travel on a non-immigrant visa while an immigrant visa is processing

Being denied a student visa will not affect your DV processing, but it will likely affect your ability to use the Visa Waiver program.  If that presents a problem for you, it's something to consider.

I don't believe there is a "penalty" as such, but the visa application forms always ask if you have ever been rejected before, so there will certainly be more scrutiny involved in any future application. Of course...if you have a green card, that's irrelevant. 
 
If you really want a DV, would there be a way you can ask the college to defer admission (explain your predicament) and find something else useful/fruitful to do until you move to the US?

Check the requirements though - for California afaik you need to have been resident for at least a year before starting school in order to get in state tuition. https://students.ucsd.edu/finances/fees/residence/criteria.html
This is for the UC system - it's possible other schools differ so do check your particular school though.
 
I'm no expert on F1 but tbh I'd be surprised if they issue you one. It will be a massive burden of proof for you to convince them that you don't intend to hang around and do AOS once your number is current. You can certainly contact the immigration office at your college for advice, though - it's possible they know a workaround or other way for you to successfully apply for F1.
 

There is still a chance.
However, another option may be to postpone the Masters for a year, then do it as a greencard holder with )probably) smaller tuition fees than a foreigner.