I would say follow what your school is telling you. They know where their paperwork has the best chance of working.
The thai consulate in Kuala Lumpur is fine to use IF you meet all the documentation requirement.
Unfortunately, seeing as most of the pile of paperwork your school will give you is in thai you have no idea if you're meeting the requirements or not.
Here's what you need to get a 90 day single entry ED visa in KL
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3.pdf