Praise be to Allah.
If someone in a non-Muslim country becomes Muslim and is able to practice his religion openly, and does not fear pressure or temptation that could make him drift away from his religion, then there is nothing wrong with him remaining there. But if he finds another country to which he can migrate, where he will be able to practice his religion openly and carry out the rituals of Islam in a better manner, then it is recommended for him to do that.
But staying in his own country may be preferable, if he can focus on calling people to Allah, may He be exalted, and spreading knowledge, especially among his family and relatives.
It is not obligatory to migrate except when two conditions are met:
i. When the Muslim is not able to practice his religion openly, or he fears pressure or temptation that could make him drift away from his religion.
ii. When he is able to migrate; if he is not able to do it, then it is not obligatory in his case.
For more information concerning that, please see the answer to question no. 47672.
There is nothing wrong with you going to Malaysia and living there with your son. You do not have to stay with your sister, and it does not seem to us that she really needs you, because she can take care of her own affairs, and she can seek the help of the Muslim women she knows, and your daughter can visit her from time to time.
You should keep in touch with her, ask after her and visit her whenever possible, so as to uphold the ties of kinship, as is obligatory, and so as to fulfil your parents’ request to take care of her.
We ask Allah, may He be exalted, to make what is good easily available to you wherever it is, and to bless you with the reward of upholding ties of kinship.
And Allah knows best.