Being checked through all the way does not necessarily protect you in the event of travel disruption, but it does make it much more likely that the airline would sort you out.

In this case as both sectors of your return journey would be with MH, it is extremely unlikely that they would not put you on the next available MH flight to London if your HKT-KUL leg was so late that you missed your connection. If however your onward flight from KUL was with BA, the situation may not be so favourable.