seller doesn't ship to Malaysia

you need to find out from the seller what sort of postage you would be paying for, but whatever it is all will deliver to your address one.

no need to hire local courier service one, as all couriers will either have their own ppl the the receiving country (e.g. DHL, UPS) or will liaise with a local company (e.g. Hong Kong Post with Pos Malaysia). If the seller is using Hong Kong Post, then Pos Malaysia will deliver. If using expedited, Pos Laju will handle if not then via normal mail/registered post.

Yes, that's correct. If Customs tahan your parcel then you need to either appoint someone/some company e.g. Pos Malaysia to handle or go to the Customs office and handle yourself.