There are numerous certified Dive centres in Malaysia from all recognised associations like PADI, SSI and CMAS. Note that Sipadan has no facilities on the island and Layang-Layang has one resort/local dive center, so you’ll need to make arrangements up front and from locations on-shore. For most of the other islands you need to check/plan ahead, since accommodation is either limited or pricey.
On some islands, such as the Perhentians, competition for divers is fierce and therefore cheap. Remember to always check the quality of the equipment and tanks, since safety comes first.