Flight booking issue

Hi, I have booked a ticket from HK to Chennai and the connecting flight is at KUL. When I was booking the ticket it is not been mentioned that Malaysian VISA is must. When I was about to board the flight, AIR ASIAN employess telling that VISA is must and they were not allowing me to board. Because of that I was not able to catch the flight. ANd I told AIR ASIA employee that I can take on arrival VISA at KUL airport. BUt AIR ASIA employee didn't hear that. But, I have enquired MALAYSIAN embassy where they are telling me that "If a passenger has his third country confirmed flight ticket then he can avail the on board/arrival visa" NOw whom should I hear, whether Air asian people or malaysian employee. Because of irresponsible air asian employees i am not able to board the flight and i have lost my money. This is not fair. I need a proper answer for this. This happens only in Air asia, where in other flights they are allowing to travel and get on arrival visa at KUL from HK. Please kindly check with this complaint and help in refunding my amount. Note +++++ I have tried booking flight using skypicker and requested flight between HK to MAS, where why do they booked a separated flight from HK-->KUL,KUL--.MAS; here comes the problem. Please help me in proceeding further.