It is a good idea to let your servicer know your new address to properly receive your mortgage bill.
FHA is normally an Owner/Occ Loan.
I would suggest that you write a letter to your Lender, telling them about the situation, including a copt of your orders, and your forwarding address:
They can't come back on you,
They will probably find out anyway,
They won't try to send your mail to the old house.
Steve is right about the VA loan,
You can probably buy something new, where you are moving to. Talk to them.
And thanks for Serving.
Good luck and may God bless