Dude, don't take it personal, it's all about the money. Business is still business, if they can't justify the move of importing a whole new range of products into a country, they just won't do it. Nobody wants to get involved in a money-losing business.
Honestly, not much ppl will spend so much money in console gaming nowadays while ahem version games are all over the place. This is not Singaproe, where the government has a tight control in this issue, M$ is fully aware that the Singaporean government is protecting their interest. Malaysia? We all know the very best of our own government.
So in the future, I think they will come in, when the price is stable and ahem games are not so rampant. For example, look at the psp, nobody can effectively crack the tough nut yet. So in return, you can see Sony Malaysia officially supporting it and the retailers can make money by selling original games. If everybody can download games from internet (like the n-gage), nobody will support it, we all know what happen to n-gage.
M$ will come in some day. But not in the near future probably.