<24h transit, it will stay in the luggage hold area for transfer to the next flight.

>24h, they won’t check the bag through at all, it will need to be picked up.

It is up to you whether you want to spend some time in KL (with or without your checked bags). As a precaution, I don’t check anything of significant value when i go anywhere; having said that, I have / my family has had locks broken and / or bags opened when travelling via KUL… don’t think anything was ever taken; again, nothing of value there.