There are two versions of Cellular Apple Watch. One version made for the US, Canada Mexico and Puerto Rico. And one version for the rest of the world. In theory, buying a watch Malaysia, should be able to connect to cellular bands in the UK. But that is not guaranteed and we are just users here on this user to user only forum. Should you buy it Malaysia and it doesn't work for you in the UK, you'll need to return to Malaysia to return the watch. If I were you and I would not let the allure of a lower price persuade you to buy a watch outside your country, where you won't have return privileges, nor will you likely have warranty as Apple Warranty may be limited to the country of purchase. ANY savings you might get by buying your watch outside the UK, would be gone and then some, if you have to return to where you purchased the watch.
Buy your watch in the UK. In the end, it could save you aggravation, disappointment and even money if you have to go back to the country of purchase.