My fiancé comes from a country that follows the Hanafi madhhab. Which madhhab is used for the akad in Malaysia?

An akad in Malaysia is conducted according to the Shafi'i madhhab and the state Islamic family law. This means a wali, two male witnesses and a clear form of words are still required, even though the Hanafi madhhab is more lenient on some points, such as a wali for an adult woman. Your fiancé does not need to change madhhab, but he must follow the procedure here. Start with the documents the religious office asks for, such as his passport, a single-status letter from his country and a pre-marriage course certificate. Officers at the state Islamic religious office can explain the exact list of documents. See Differences between madhhabs.