Contrary to popular belief, Malaysians do not live on trees
and KL is definitely not 3rd world. I travel quite a bit and do agree with Sam that a visit to Jakarta, Phnom Penh, Vientiane, New Delhi, or Manila would open your eyes.
I'm also a Malaysian now based in HK. IMO KL would be the best of both worlds-upclass city living vs. affordable suburban lifestyle. There are lotsa foreigners living in KL (typically the Ampang, Bangsar & Damansara areas) either working class or retirees, paving the way for many private & international schools: International School of KL, Garden International & Alice Smith International, just to name a few.
If it's city life you're after than HK would be the better bet to KL. Favorable tax rates, efficient transport infrastructure, larger expat population, and shopping-its famed national sport.