KL is often quite warm, even in winter. Dry might be semi-dry, and there's a good chance of copious sweating. Combined with salt hair, the need to pee, and (depending on the time of year) stings and such, these complications could distract from the event.
Sounds sorta neat, but building the event around this is complicated. Requires good sea conditions, even if doing this in the bay. You'll have a lot of important stuff that's not in your control. Your other half might not appreciate this if things go south (which is always possible with water activities AND ceremonies).
The dive aspect adds a LOT of attention to gear and stuff. While you'll both want to focus on the wedding and each other, you'll need to deal with gear, a rented drysuit, etcetcetc. Also, you ought to get some serious experience diving dry before you build a big event around that. Sounds like the potential hassle factor is increasing.
My wife and I love to dive, and most of the folks who came to the wedding were divers. We organized a (dry) beach wedding (even THAT was complicated by a tropical storm that started brewing a few days before the wedding). After the wedding, we went to local fish house for the reception. A few hours later, we gathered at a boat, and shared a great shallow night dive with guests. Non-divers came along on the boat so they could share the event with us on the way to the site and back. We held off on the toasts until after the dive. That ended up being a too cool day that incorporated dry and UW activities into the wedding, without adding too much complexity to the whole event. Our fallback was that if the conditions went south, we'd still have a good day and good memories. They didn't - we did.
Good luck!
MB