https://www.kpdnhep.gov.my/en/consumerism/h...complaints.html

Just make sure to include all your evidence for your complain. An officer will contact you in few days time.

Personal experience:
Have issue with Lazada
Ordered something x2, received x1 only.
Complained to Lazada and seller, delayed and taichi here and there. Lazada acknowledged only x1 box sent, can't find 1 more, seller said shipped 2 box, showed proof.
Lazada taichi to their delivery department, no refunds yet, waiting approval and investigation.
Taichi took 2 weeks, fustrated, file a complained to KPDNHEP
Took all screenshots and filled up complain form to KPDNHEP
Officer from KPDNHEP called me, small chat and invited me to an "interview" at their office in KPDNHEP.
After chatting with the officer in KPDNHEP office, they say will proceed because have enough evidence.
1 day later, Lazada agent reached out to me to refund the money for the x1 parcel I did not receive and told me to retract my report from KPDNHEP.
I told Lazada, I will wait for the money received in bank account before retracting my report from KPDNHEP.
After 1 day, the money was refunded direct to my bank account via IBG, and confirmed with Lazada I have received and will retract my report.
2 days later, same officer from KPDNHEP contacted me, I told them confirmed, case resolved as Lazada refunded my money.