keyword being "abroad." It is almost always cheaper to buy foreign currency locally first and bring it with you. but many people, particularly if they're on a longer trip, aren't comfortable with carrying thousands of ringgit cash with them, so they'll just change a moderate sum locally, then withdraw from ATMs while they're abroad (rate is definitely not at interbank rates like what your friend said).

assuming the rate doesn't move, you will ALWAYS lose money. Otherwise how the money changers make money? They are operating a business not a charity