If you are heading to Kuala Lumpur then definately there are dancers - smallish but very vivid dance community with some excellent teachers and interesting visitors
I am not so sure about seeing dance shows as I have not checked any performances there but you can check at least these web-sites for more info:
Good blog with dance-happengings and links all over Malaysia and Singapore
Yalla Bina by Paola Blanton
Sherlyn Koh & Sirocco Secrets
and of course if you happen to visit Singapore (just around the corner
) then I can be already more of help