The Netherlands embassy has on 26 October 2020 re-located to The Capital Tower, Naza Tower, Persiaran KLCC, Kuala Lumpur. I have not had reason to visit the new consular office but do remember that its previous one at the Ampwalk was quite modern, so the new one should be even nicer.
Appointments for legalisation are made via its online appointment system. The last time I used it, back in January, an appointment could be made for two or three days later so it’s not a long wait. Legalisation fees charged are 26.25 Euros per document. Credit cards accepted. And documents can be collected the next working day.