Hi VChong,
I am a also Malaysian Chinese and have been living in Europe for more than 30 years. As from 2016, Spain has become my second home. When in Spain, I live in a small town in Costa Calida which is less than a 3 hour drive away from Malaga.
Re. your question whether Spain is a friendly country for Asians is too premature for me to answer now. All I can say is that it depends on how one carries oneself (applies to any country for that matter). But my short experience of living in Spain has been very positive. I find the Spaniards generally friendly and especially appreciative and helpful when I try to communicate in my very limited Spanish. They appear to be tolerant. As opposed to general impressions that northern Europeans have, I find the folks here to be quite hardworking but there is definitely quite some room for improvement in terms of efficiency and keeping to agreed timelines. (Mind you, I am referring to more the business aspects but if you are here for leisure, then one can get used to the way of living here quite quickly),
Your questions: How much will it cost to rent and live in Malaga? Rent, Internet, groceries, home cooked meals, weekly visits to local Spanish bar, etc.? It very much depends on your lifestyle and what comforts you are prepared to pay for. You may know that this also applies in KL - for eg. rent in Bangsar is likely to be very different from that in Cheras. Eating and drinking in an aircond restaurant/pub in the Golden Triangle (Starhill) is going to cost you much more than eating roti and drinking teh tarik at the Mamak's.
Why is youth unemployment so high in Spain? What keeps them occupied? Well, the property bubble burst in 2007/2008 has started an avalanche of economic woes and Spain is still reeling from the effects of this although things have improved steadily not least due to the austerity measures undertaken by (or rather forced upon) the Spanish government. Graduates, where possible, try their luck in other European countries simply because there is a great lack of jobs. Those that are available tend to be poorly paid ones. Personally, I believe that this is one of the reasons that criminality rates have increased.
Despite all the above, I look forward to spending more time in Spain. Like any country, one can learn to accept the "good" with the "less good". Feel free to drop me a personal note should you have need for further information. I do not profess to know everything in my short time here in Spain but I will try to help where I possibly can.
Good luck,
AntLy