Why, it is explained if you can read
You might get asked for an interview, could be in person.
You have to apply BEFORE departure.
And lots of people go to Malaysia for holiday, so why the urgent needs, to leave during a 4 weeks application period.
It is not illegal to leave, feel free to do if you like, but be aware the Embassy reserved the right to refuse the visa application with no reason provided and no refund.
*********************************************************************