For a more unique experience overall, go with the Sheraton Imperial. It is easily one of the best Sheraton's in Asia and the location is still very convenient.
The Westin is close to shopping sure, but the SI has the monorail right there and it's easy to get around.
In terms of quality, the SI is better than the Westin. The LM comes in 3rd, but Kuala Lumpur is fortunate to have 3 great affordable options.