It is actually illegal.
MODIFICATIONS TO PRIVATE VEHICLES
There are modifications that can be performed without prior JPJ approval. However, these must be made according to the specified guidelines. The types of modifications are:-
1. Spoiler, side skirt and aerofoil installation.
2. Door visor installation.
3. Front and rear bumpers; and kangaroo bar installation.
   (Kangaroo Bar) pada bahagian hadapan kenderaan.
4.  Installation of larger rims and tyres.
5.  Sunroof/moon roof/canvas top installation.
6.  Stepladder/boat/surfboard rack installation
7.  Manual to automatic transmission change
8.  8Canopy/canvas installation
9.  Winch, winch bar, side step, rear bar and snorkel installation
10. Roof rack/bike carrier installation
11. Spotlight installation
Prohibited modifications to vehicles include:-
1. Body part/body kit installation that changes the vehicle's identity.
2. Inner roll cage installation.
3. HID lights retrofitting.
4. Changes to the drive train.
5. Flashing lights installation on the vehicle's front and rear (except for turn lights and warning light).
6. Flashing lights installation on the vehicle's front and rear (except for turn lights and warning light).
7. Flashing lights installation on the vehicle's front and rear (except for turn lights and warning light).
8. Tinted window or tinted film installation on the windshield with a transparency that is less than 70%.
9. Tinted window or tinted film installation on the rear window or side windows with a transparency that is less than 50%.
SourceI see that they really don't want you to install flashing lights on the vehicle's front and rear...