"My wife in Nicaragua changed her cell phone number. Do we need to inform the USCIS?"
Yes, it is highly recommended that you update any and all information as soon as it changes. Especially the cell phone number. The reason being is because the consulate sends text messages. Basically, you filled out a form that informs the USCIS, the National Visa Center, and the Embassy on how to contact you. You can do that online with the AR-ll.
If it's at the National Visa Center stage you would contact the NVC. If it's at the Embassy stage you'll have the opportunity to fill out the online visa form, the DS-160 or the DS-260. You will also have an interview, and they'll ask all this information again but, you'll have several opportunities to update this. You should update it immediately, because if you don't, communications will come, and you don't know when they're coming, who they're coming from, and where they're going. Make sure your addresses are up to date, make sure your phone numbers are up to date, make sure they have the correct email address. All this is very important because we've heard too many cases where an applicant stated, "Well, I didn't receive the communication or text or email or the interview packet at my home address." We can't emphasize enough how important it is to update this information and update it immediately.