You are right, all the 5 eyes countries allow dual citizenships. They themselves might have no problem with it, but they are high demand locations and do the most immigration checks, do they do any extra procedures that might end up notifying Country A or B about the second passport?
Do you have a source that SG is used by Malaysians as a dual passport change point, without any problems for them? If SG itself does not allow dual citizenship for its own citizens, why would it close a blind eye to its neighbouring country's citizens having dual citizenship?
And you did not answer my other question, "when exiting Country C, does the airline inform immigration of Country C that you are leaving with Passport B, which is different to the Passport A shown to their immigration"?