If you are filing for adjustment of status based as an 'immediate relative' of a US citizen, you need to provide evidence that you entered the U.S. lawfully so you should submit a copy of your visa & I-94 when you file your I-485 application. It is good if you copies of your I-20 as well but even if you don't, you should be ok.
Disclaimer: The information provided here is generalized and should not be relied upon as legal advice. This communication does not create an attorney-client relationship.
I agree with my colleague. The more that you have to prove your lawful status, the better. However those who are missing their I-20s should be approved as long as they have a valid I-94 and visa.
The process of filing for a marriage based adjustment can get complicated. If there is further confusion, I strongly recommend an appointment with a competent and experienced immigration attorney. Good luck.
This is general information, not legal advice, and does not create an attorney client relationship.