From what I heard from trusted people, Malaysia and China will revoke your citizenship on the spot and confiscate your passport if a foreign passport issued to you is discovered.

I am not in that position but I have a system of which passport in which jacket pocket for my multiple passports, Nexus, APEC, etc.

That would be the choice in an ideal world but not an option for some people or some complex multiple country trips.

Good point.

In any case, there is a risk but different levels of getting caught.

Correct, at least as of 4 years ago when two Iranians likely use their own passports to leave Malaysia but boarded an infamous flight to PEK using fake European passports.

China does use API. Hong Kong doesn't.

FYI there were quite a few Malaysian Nationals applying for Canadian citizenship right after External Affairs gave Canadians the option of leaving their place of birth blank on their passport.

I did not know that, but it makes sense.

Beside API vs. not-API, another difference between HK and China: China enforces foreign visa check for its own exiting citizen. HK of course doesn't care. What Malaysia does mentioned above is a bit different from China.

China does not issue a visa to Chinese National holding non-Chinese passports, this includes Chinese Nationals born in Hong Kong and Macao with exceptions.

I meant when a Mainland Chinese citizen exits China, border agent wants to see your itinerary and visa. Not just for API purposes matching airport photo, visa and flight boarding, but at checkpoints to HK/Macau, they don't allow exit unless you have the right docs. Travel permit is needed if no plane tickets from MFM/HKG. Present passport and plane tickets, you need to show visa for visa-needed countries. Just to exit China.

So for the OP, an earlier post indicates Malaysia Immigration may be doing something now 4 years after MH370. It is advisable to make an obvious stop in HKG/TPE where you claim bags and check in again so Malaysia to Canada is not one check-in.

Or just fly from SIN.

If you want to keep the UK one, the PRC passport will be revoked instantly. I don't know what would happen if you wanted to keep the PRC one, because after going through all the effort to naturalise who wants to just give that up?** I guess they might hold on to your PRC passport pending your official renunciation of UK citizenship (though IIRC you have one opportunity to restore UK citizenship after renunciation).

Anyway it's one rule for some and another rule for others, I know someone who the PRC quasi-officially permits to hold PRC and Canadian citizenship but the less said about it the better.

**Well I heard of a naturalized American who didn't realise he needed to file US taxes regardless of his residence, but he had already renounced his PRC citizenship and wasn't allowed to get it back even if he gave up his US citizenship.