I've been to Kuala Lumpur twice and both times there was not even a hint of danger. I think the closest I ever came to being nervous there was when a guy came up to me and asked for RM30 so he could get a taxi (obviously trying to make a quick buck). But no danger at all.

Malaysia does seem a very safe country to me. I spent most my time there actually outside KL, and even the deserted streets of outlying towns were never any issues for at least when I was there.

Hope you continue with your travels as planned!