As far as I know, there are no taxes for loose diamond if you import into Malaysia from the US.
Personally, I would say buying from US is a rather straight-forward process and the shipment will most likely be insured if they opt for FeDex of DHL.
As for the diamond itself, I would say it is easier than buying an electrical item from overseas since electrical item may spoil and we will need to claim warranty, while for loose diamond, it is what it is. Of course, there is still a slim chance that things may go very wrong, but I think for me, if the loose diamond is cheaper, it is worth the risk, again, just my personal opinion.
My other concern will be getting the ring set, you will need to find a jeweler that is willing to set your loose diamond, and I will say better get a quick quotation first before pulling the trigger just in case the total price for both diamond and ring is not worth it.
I won't suggest you to buy the whole engagement ring (diamond + ring) and import in from the US because that will be count as a jewelry piece and it is taxable. I am not sure about the tax percentage though.
Wow this helped alot, I never know that getting a whole ring form overseas is taxable since the customer services told me that I will only be paying the amount shown at checkout and not any additional duties and taxes.
Maybe I will consider getting just the loose diamond in this case.