You still have to pay your taxes. The foreign derive income exemption doesn't apply to you as long as the work is done physically in Malaysia.

You'll need to register your own business, invoice your employers and pay taxes using form B instead of BE, assuming you register for a sole proprietorship.

You'll be a "business owner" and have a tougher time applying for financial products like loans and credit cards. Most credit card company wants 2 years of business registration records before giving you one. Applying for loans will require proof of high amounts of savings and FD.