Yes, do go downtown. Has been a few years since my last visit but traffic can be bad so make sure you leave long enough to get back to the station.

As noted the area around the Petronas Towers is pleasant for a wander although eating options are a bit generic there.

This place is brilliant especially for steak and a bit of history https://www.tripadvisor.co.uk/Restaurant_Review-g298570-d1164708-Reviews-Coliseum_Cafe-Kuala_Lumpur_Wilayah_Persekutuan.html and I think they have respected the old school atmosphere even though they have opened some more sanitised branches now.

Enjoy!