Yes you do, unless there is some legitimate medical reason for your inability to attend, in which case you may be able to delay your appointment. OWCP has every right to scheduled medical exams for you at “reasonable” intervals.
Embrace it. (And here's why.)
The purpose of the FECA is to restore lost wages for injured federal employees. In the event that you are placed in a position that pays less than your benefits, OWCP will continue to send you a supplemental monthly check equal to the difference between your benefits and your new wages.