Ms. Andy, if your employer asks you to apply for work visa in HK, maybe there are some reason, however, it is possibel for you to get work visa in Malaysia if you can provide all required documents:
(i) Original passport which has more than six months left before it expires from the date of application and sufficient blank visa pages (18 months and more left if intended stay in China is more than one year).
(ii) One completed Visa Application Form with a recently-taken passport photo stuck on it. All the items on the application form should be fully filled in with genuine information;
(iii)Foreigners who come to China to take up employment as experts, scholars, teachers, managerial personnel and as personnel working in related state or local organizations should provide:
1. Permit for Foreign Experts Working in Chian(original) issued by the State Bureau of Foreign Experts (original);and
2. A visa notification form issued by an authorized unit in China (original).
(iv) Applicant who will stay in China for more than one year shall provide a Physical Examination Record for Foreigner.

If you apply for Z visa in Kl, you have to apply for it through the Chinese Visa Application Service center.
for more information, please refer to http://www.visaforchina.org.my/

You can't apply for a work visa without a letter of invitation and on that letter it states that you must be in your own country to apply. HK seems to overlook these bold letters at the top of the letter. If your employer is sending you the invitation letter or you have it already then you probably will have to go to HK to get the actual visa. I just had a teacher that was refused at his embassy because he wasn't in his own country. He flew to HK and they did it for him and then he flew to Shanghai with no problems.