Actually i was asked too. My 3rd entry to Thailand this year and immigration officer asked me to see an onward ticket. Luckily i had one. I spent prior 4 months this year in Thailand, split over 2 visits. Left for 1 months Europe and when i returned, airline in Europe as well as immigration officer in Don Muang asked for onward flight. Not that rare especially if you are a repeat visitor.
In KL they ask for the documents being stamped by the embassy of where my company is located. In my case its a US LLC and i would need my docs being stamped by the US embassy. Is it the same in Penang?