Is it an unlock iPhone X purchase in USA, then use it in Malaysia

No, it means that you can buy an unlocked phone from Apple, however the ability to use it in Malaysia is dependent on the LTE bands your carrier uses and which one that iPhone supports. Also what Limnos said about warranty is important as well. Only the carrier in Malaysia can say which model of the iPhone is supported on their network for full support.

Remember, if something goes wrong you will have to return the phone to the USA for warranty repair, but you cannot send it directly to Apple, it would have to be sent to a friend and there may be customs duty charges.

Also check here if a US phone will have full data support:

LTE Find the right iPhone for the right country or region. - http://www.apple.com/iphone/LTE/

I know I for one am not familiar with the technical requirements of cellular services in Malaysia. iPhones tend to come in different varieties and models are sold in countries with specifications that meet the requirements of the cellular services in that country. Maybe a phone from the USA would have no problem in Malaysia but at this point it is up to you to determine that. I mentioned earlier some technical limitations and those for specific models can be found in:

iPhone X - Technical Specifications - Apple

What you wish to do is understandable to save money* but you do have to make sure you get the right model. Unless you get a response from somebody here who has done this before then we are just working with the same information you have.

*Do make sure you are saving money. You will probably have to pay customs duty and taxes when importing it into Malaysia, as well as paying sales tax here in the USA.

Remember that the only source for unlocked iPhones in the US is directly from Apple. Other retailers such as BestBuy to NOT sell unlocked iPhones.

Yes, but you will not have a warranty. The warranty is only valid in the country where the phone was sold.