E2 visa in consulate after E2 status extension denial due to poor response in RFE.

Yes can can process you E-2 visa abroad. The Consulate will know that the change of status was denied. So bring the denial with you sop that you can demonstrate that the E-2 denial was based on an imoproper RFE response rather than a ground of ineligibility that would preclude visa issuance. If denied you should be allowed to return to TD status to reenter the US. Be aware that you may be questioned about working in your business with TD status. While you can own your business you are not allowed to work for it unless you can get a proper work visa. If you are Canadian you might want to see if you can make a TN entry and avoid the E-2 completely.