Here's a fairly haphazard list, based off your description.
There's an exhibition of Malay silverwork at the V&A Museum until July 2014, and the National Service exhibition at the National Army Museum contains exhibits from Malaya.
There's a statue of Sir Stamford in Westminster Abbey, and one of Viscount William Slim (commander of British troops in Burma in WWII) at Whitehall. The British "founders" of Penang (Francis Light), and Labuah (James Brooke) don't merit the same attention, though Brooke is buried in England, at Dartsmoor.
Some buildings established by the East India Company, originally repsonsible for the SE Asian interests, still exist, for example the East India Club. Unfortunately the old East India House made way for Lloyd's.
A bit out of town, Haileybury and Imperial Service College used to be the East India College for training administrators.
The old Colonial House, reported into by the Straits Settlements, still exists as the offices of the Foreign and Commonwealth now.