I've also looked into the flight schools here in Malaysia, and they do require me to convert my license. In order for me to obtain a Malaysian CPL/IR and Frozen ATPL license, I need an approval from the Department of Civil Aviation Malaysia then undergo an abridged course which the Department of Civil Aviation Malaysia will stipulate the requirements for the course. The course fees alone will costs from RM130,000 to RM180,000 (USD32000 - USD44000) and will run from 8 to 12 months.
I contacted one of the schools in Florida that offer F1 visa and OPT after training, and they're offering me the F1 for doing my multi add on and MEI with them for USD26000 granted that I fly for 35hours in their seminole. This option makes more sense to me since it is cheaper than converting my license and waste another year before I can even work and whilst in Florida I can get the multi engine add on which I'll need eventually in the future; plus the guarantee of OPT for 3 years.
Other than that I'm planning to apply for a flight instructor position with Susi Indonesia. I have a friend back in my pilot training days from Russia who is currently working for Susi and mentioned that there's a position available and they're ok with FAA license.