Should I correct I-539 COS from B2 to F1, if submitted I-526 before

I submitted I-526 out of the US, entered in US with B2 and submitted I-539 for change of status six months after the submission of I-526, but for the question 3.b on I-539, “Has an immigrant petition ever been filed for you or any other person included in this application”, I choose No. Should I correct this, if do, how to do it, if not, will I be deemed fraud.

Well, in general, you should not misinterpret facts. If you have done it by mistake, I suggest you check with USCIS on the process. You can call their customer service or even schedule an appointment using Infopass.