I assume you are buying a seperate ticket KUL-HKG-KUL - is that correct?
If so then BA is not obligated to assist you in anyway - however, most times they are understanding with mess up to incoming connections. I had a mileage ticket once and was arriving JFK in from RDU. My AA flight from RDU got severely delayed, and technically they could have told me sorry your ticket is worthless, but on arrival at JFK they were kind enough to accommodate me on the next flight. It had helped that I called the gold desk in advance from RDU to inform them of my AA delay and they called AA to confirm I wasn't fibbing. They told me they would update my booking with comments and to go straight to the First check-in on arrival at JFK to get on the next flight...

To answer your question you should all both BA and CX and inform them of your 2 sectors, they can add them as "information segments" to your both your bookings (CX informed of BA connection and BA informed of CX incoming)...

Keep in mind that if you get a stickler, they will tell you sorry your fault for booking 2 seperate tickets, but usually, especially within Oneworld they were quite co-operative.

Good luck.