Same here. I was worried about onward ticket problems so we got the Thai visa in advance from the consulate in Los Angeles even though there is no advanced visa requirement.
Once, when flying on a one-way ticket to South Africa, we had problems with Virgin Atlantic. They would not allow us to board the flight without a return ticket and forced us to buy a fully refundable ticket which, after being permitted entry to South Africa, they gladly refunded.
So, worse case, you buy a refundable ticket if they give you are hard time, enter Malaysia, then get the refund.