Upvote:0
It's fine not to use your J-1 visa, as long as you inform your J-1 program sponsor and make sure they "cancel" your DS-2019. Doing so confirms that you never arrived in the US for your program. If the sponsor flagged your DS-2019 as "no show" (meaning you entered the US as J-1 but didn't report to your program) it would cause a lot of trouble for any future travel to the US.
Upvote:3
You generally can follow the advice given in the linked question: Does being granted a B1/B2 visa for the US and not going have any consequences?
That is, that it’s fine to not use a visa.
The one exception and special case for J-1 visas is if you are subject to the two year home-country physical presence requirement.
If so, you might want to get your visa cancelled without prejudice at the American embassy. Otherwise, you might encounter some minor hassle in the future as you’ll have to prove that you didn’t use the J1 and aren’t subject to the home residency requirement if you ever apply for a H, J, L or green card.
If you never see yourself working in the USA, then it’s not worth the hassle.