Are you trying to use the Maya Island Air website (MY) instead of the Malaysia Airlines site (MH)?

A lot of it depends on which agent you get, if the flights are on the same PNR (booked at the same time), and on any agreements the airlines might have.

I've had some agents happily check me in and issue boarding passes for multiple connections across different airlines, and I've had agents refuse to in the same situation.
I've had agents in one port refuse to check me in the following, connecting, flight on the same ticket from the second to third port (eg, asking an agent in HKG to issue a SIN-MEL boarding pass), then the next agent I see does.