My advice to you is check with the Malaysian DCA about whats required with license conversions if you do go down the path of getting a JAA or CASA license (forget about the FAA license). License conversions can be quite involved and costly too. If you want to fly in Malaysia and you are Malaysian, then get the Malaysian license. GGFIA looks very promising and have some experienced instructors from the Langkawi school. Check out their new website with their plans on development; it's very impressive.
http://www.ggifa.org/