Marrying a Malaysian muslim man as a non-muslim European woman

My Malaysian muslim partner (M) and I (F) are wondering whether our marriage would be easily recognized in Malaysia if we would get married in my home country in Europe? Since I am non-Muslim, would they ask for a certificate or proof of my conversion to Islam?
We are weighing the options: what would be the benefits / downsides to marrying in my home country versus in Malaysia?

EDIT - To be clear: we consciously choose to settle down in Malaysia, not Europe, although we are not set on practicing the faith, only to a certain extent. We would consider ourselves cultural, non-practicing muslims. We are aware of the challenges and difficulties of navigating through society in that situation, especially if we would decide to have children. I would appreciate no unsollicited advice or judgement on that. We're just trying to find the quickest and easiest way to go about the marriage proces.

Love to read any advice or experience any of you could share. Thanks a lot!