I vaguely remember some bank which is strict would want to do maybe a few things before releasing the account. something along the line of

- extract of Death Certificate from National Registration Department of Malaysia (JPN)
- confirm that the court granted XYZ as administrator or executor.

This is to prevent fraud that the public will just walk in with a fake death cert and grant of probate / letter of administrator and walk away a person money in the account.

Or is it EPF that do this...?

So in a way it is a good thing that it take some time to verify and go through the process.
After all one had waited some time for probate / LA (this should be at least months if not years in Malaysia), just wait a little bit more....