Interviewing after accepting offer

I accepted a internship offer from for a Big4 consulting internship in the federal space this summer after they cancelled the program last year. They made the offer on an exploding deadline of a week so I went ahead and signed basically as soon as it came in. However, I have been passively recruiting for other positions as well. I have an interview next week with a litigation consulting firm that pays much better.

How inappropriate is this?

How transparent about this should I be?

Should I be worried about OCR's relationship with my school? 

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