My little brother has a good friend who worked at BCG KL after doing MBA at Columbia. It's not a 'sweatshop'. If you want first-hand info, I can put you in touch. From what I was told on FB chats, it's actually OK. Though... at times, you might be on the bench for a considerable period of time if there are no projects. I also know some of the partners at the MBB offices in SEA. No 'sweatshop'. They know how to have fun!
Life in KL/Jakarta/BKK can be really good. I should know! Even more so if you spoke Malay/Indonesian and Thai. Almost everyone in KL speaks English (or Manglish as they call it). Not the case in BKK.
Finally, do consider Vietnam. Don't limit ASEAN to KL/SG/BKK/ID.