I'd want to see the correspondence from the consulate indicating they require a waiver and compare it to all of the documentation from CIS and the AAO. There may be a mis-communication and there also may be a misapplication of the law by the consulate.
Yes, you need both forms to be approved before the US Consul can approve the final immigrant visa.
PROFESSOR OF IMMIGRATION LAW for over 10 years -- This blog posting is offered for informational purposes only. It does not constitute an attorney-client relationship. Also, keep in mind that this is an INTERNET BLOG. You should not rely on anything you read here to make decisions which impact on your life. Meet with an attorney, via Skype, or in person, to obtain competent personal and professional guidance.
You were previously required to file a waiver of inadmissibility. The fact that your I-130 has been affirmed after review does not necessarily negate the need for a waiver of inadmissibility. However, I would need to review the decisions as well as any information you received from the consulate to determine how to proceed with this matter.