There is no Malaysian law that allow other people (polices even) to held your private identity documentations (MyKad or driving license even) when entering private/government buildings. You may present the ID prove visually if required, but never allow other people to held your IDs.

I have entered data sensitive data centers (including government buildings in Putrajaya). The auxiliary polices and guards did not held by Mykad or even driving license. They just cross check with their requests for work documentation and then allow me to enter for work. They just gave me the visitor's pass to be displayed when on premise.

All these practices are basically illegal, just like charging percentage of credit card transactions, or having a minimum for credit card transaction. We are used to doing these illegal things everyday.

But hey, for further clarification, get a civil lawyer to explain the law for you.