no problem as long it is a flight sold by Malev. It means it MUST be visible the number of Malev codeshare and not just the SU-Aeroflot number.
Anyway, if you leave LCA with a Malev boarding pass it should be clearly indicated the MA number for the 2nd leg.
I had the same experience with a 2nd leg operated by Moldavian airlines (Carpatair): After a short discussion and fast check on their screen, they letme in because the 1st and 2nd leg had both MA numbers (and were sold as Malev ticket).