Being a Sabahan, I grew up without much awareness of the ethnic-stereotyping that is quite typical in Peninsular Malaysia. In Sabah, there's nothing weird about wearing a baju kurung and speaking Malay while eating pork in a Chinese restaurant because baju kurung and speaking Malay are not associated with being a Muslim. In Sabah no one thinks of others as being Malay, Chinese or Indian. That would have been difficult to do, considering that there are more than 100 ethnic groups here.
The most that people do to point out differences would be to label people as Muslims or Non-Muslims. It is only when it is really really necessary that people ask what your ethnic group is. It doesn't mean that people don't recognize differences. They do, quietly, because there's no need to be loud about it. Anyway, I think there are some exception to this. Like today for example, I met a friend's mom for coffee. I wore a baju kurung because I was working. We don't know each other that well, having met only once in Perth. She hesitated a bit then blurted out, "you are wearing baju kurung. Does that mean that you have become a Muslim? Because I'd like to invite you for a meal at home one of these days and I don't want to be serving you food you cannot take". Stunned, I looked at her then laughed my heart out. I explained to her that everyone wears baju kurung here, whether or not one is a Muslim. It is comfortable and easy to take care of so I often wear one. The aunty smiled and realized her mistake for generalizing.
That reminded me of the first time I got the same reaction. It was in KL, a few years ago when I was a student. I wore a baju kurung to one of the lectures at the uni and somebody actually congratulated me for having become a Muslim. It was a shock then, because that was my first introduction to the stereotyping, and back then, I thought the person who said that to me was kind of... rude. But that was before. Now I can laugh this thing off and do my best to explain my position. I live in Sabah and here anything decent that you wear is acceptable....to almost everyone :-).