You can do the medical check in the appointed hospital in Malaysia or the hospital in China.

But if you do it in Malaysia, you need to have the report verified by the appointed hospital in China. Only the verified reports in duplicate are accepted by the Chinse authorities (China labor department and Public Security Bureau). To do the verification, ORIGINAL medical report is required. Thus you should not give the original report to the embassy/ consulate when applying for a Z. Or you have to do the medical check again in China.