One question here:

First time traveling to Europe during winter. What kind of boots / shoes should I get for walking around? What brand? Where can I get them in KL?

Thanks.

I don't think they scan the arriving luggage from the plane before putting them on the conveyor belt. However, after you collect your luggage, the customs will conduct random checks before you exit to the arrival hall.

So, depends on your luck then. (Not that I'm encouraging you.)

Of course you can, just make sure you have all the boarding passes before you leave the airport, so that when you return, you don't have to queue for check in again.