I am looking to go grey for my next few purchases.
Havent bought anything from the grey.
Who is the go to guy in Malaysia if I wanted a non AD rolex?
I think there is no "go-to" person as such. I would recommend you to follow some Facebook groups related to watches in Malaysia. Some of them do post brand new grey market Rolex quite often. But I doubt the price difference will be significant compared to AD.
If you can afford to buy a Rolex, I'm sure you can afford the small difference in the price between grey market and AD. Better stick to AD when purchasing expensive timepieces. Just my 2 cents worth.