It is faster and easier to get approved elsewhere, But as you are living in KL it is cheaper for you to do it there. I know some Malay who applied in nearby SE and East Asian countries as it is much quicker and easier than in Malaysia. Vietnam, Jakarta are 'friendlier" with very high approval rates which is why so many go there.
They want to see the actual 500K balance in an immediately accessible account. Unfortunately tax returns, proof of income statements, income deposits are evidence of income not a balance. I know how you feel about selling shares as I had to do it, but it was worth it.