IANAL, so take it with a grain of salt. This is a super conservative interpretation though. Anecdotally, I myself have received an F-1 visa despite having applied for diversity lottery (unsuccessfully). If I recall correctly, I may have at some point seen an explicit guidance on the DoS website to the effect that a mere DV lottery application (without a successful followup petition) is not necessarily indicative of immigrant intent for non-immigrant visa application purposes. I cannot find it though, the page seems to be 404ing.
