Tie & shirt for business attire during the day. If you are dining in a nice establishment in the evening, then wear the jacket.
Shorts are okay, just don't go wandering around close to any mosques as a sightseer in shorts.
I like the Mandarin Oriental for hotel choice in KL. It is in the KLCC and right next to the Petronas towers.
KL is one of my favorite cities in SE Asia. Not as wild as Bangkok or Jakarta, but not a tame as Singapore. Nice middle ground.
M8