Amazon US does ship to Malaysia but... bear in mind the risk of damage during shipping. My personal experience in shipping HDDs since 2019:

Domestic Amazon USA shipping + hand carry back to Malaysia: 3x 16TB Seagate Ironwolf = all ok
International Amazon USA shipping to Malaysia: 2x 16TB Seagate Ironwolf = both DOA (dead on arrival)
International Japan shipping to Malaysia: 2x 16TB Seagate Ironwolf = 1 ok, 1 DOA

I believe the drives were damaged during international shipping even with Amazon's usually very good packaging. So beware.

Following this experience, I don't plan on shipping HDDs from overseas anymore. If I get to travel to US for work anytime soon, I would order from Amazon and hand carry back. Otherwise, I would stick to SSDs for international orders.

Did it a couple times in the past within WM and it was fine. Not sure about EM/WM though.

If it's Amazon, usually I ship them back for a refund or a new item. Usually its free return. Depends also if you bought directly from Amazon itself or a retailer using the Amazon platform. A few times I've had items damaged or missing during shipment, and Amazon just sent me a new item without needing me to return them.