MKE-MR i cannot understand your problem here. OP has been allowed to check-in in OSL all the way to KUL. His baggage will be tagged to KUL and he has a valid boarding pass. His first contact with MH will be at the boarding gate. Will MH deny him boarding because the boarding pass is printed on QR stock? Will MH refuse his baggage because it is printed on QR stock?

Of course OSL may refuse to accept the BKK-KUL flight and then it is a case of either going landside, retrieving baggage, re check-in etc. or getting the transfer desk to do so airside.