Venue refers to a meeting. Room does not necessarily involve a meeting, but it depends on the context. A venue may also be something other than a room, eg two rooms, a building, a sports stadium, etc.
If I read "Note the change in/of venue" I would think that you are meeting in the Marriott hotel instead of the Hyatt. It's a pretty major change.
If I read "note the room change" I'd think that instead of the Aroostic Meeting Room, we'll be in the Cumberland Meeting Room. Same hotel, different room.
As Clive says, all are correct, but I find "room change" slightly more natural