I have been doing PEN (on MH) -KUL-DXB (on EK) on average twice a year for the pass 3 years and MH had never issued BP for the EK flight although they would be able to check the luggage through to DXB. One of the other issues to watch out for is the luggage transfer from MH to EK, although the layover period is about 3 hours plus, my luggage had missed the EK flight twice - not sure how they managed to miss the connection.