why the change in setting?

Tax incentives.

No idea. If that be your first gripe, then brace yourself for a whole bunch of confusing and unnecessary changes from the novel.

Warner Bros simply stated that it was to serve the story. Take that as you will.

General convenience I guess. Don’t find it bothersome.

My guess is that it's because the part of the book that took place in Oklahoma could have taken place anywhere. As the Oklahoma setting could have been Detroit, Miami, or Memphis without changing a thing, the filmmakers (presumably, as I'm taking your word for this) are starting him in Columbus to move the story along. If the entire story takes place in Columbus, that means they don't need to include scenes of his journey from Oklahoma to Ohio.

The book even makes that clear when depicting Wade's journey from Oklahoma to Ohio, where he points out that everything looks the same. Since the movie can't contain every single detail from the book, they had to select the important parts.