Malaysia is a lovely place for a holiday.
As for flying training, DON'T.
The only reason for training in Malaysia is if your Malaysian and going to work there.
MFA will promise the world and deliver a Malaysian CPL that is ICAO (just). The exams are UK CAA International exams (same as the ones that used to be done in the UK) with Big print across the top" Not valid for the issue of a UK licence". Can you guess why?
It's cheap because it needs to be. I heard on the grape vine that even Malaysian Airline stopped training there only only went back after the Malaysian Government refused permission for MAS to send students to Australia. Something to do with foreign currency expenditure I believe. Even then the contract they negotiated was very favourable to MAS.
If you want to Fly in Europe train in Europe or at least somewhere you will get the required European (JAR) qualifications.
W1