Yes, you must leave.
CPT is not eligible for cap gap but since you are entitled to apply for COS during your 60 day grace period and you have your I-94 issued for Oct 1st because your grace period carries you through that date you do not have to leave for H1B visa stamping.

If your 60 day grace period did not carry you through to Oct 1st you would have to leave for visa stamping.

Judith

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