There's always been a sense that Malcolm is internally conflicted. He's carrying the weight of tradition within his family, and the stigma of pursuing a different career. Everything must be done properly, whether its rules and regulations, or writing famous last words in personal logs and letters. As much as I disliked Section 31 being inserted into the show, establishing its presence before the Federation ever existed, it added another internal conflict for Malcolm to deal with. Personally, I don't need to know every little detail of a character's life to appreciate that character.
But let's say Malcolm had been revealed as gay. What does that do to the character's internal conflict? Is it the only thing he's not conflicted about? Is the only time he's comfortable with anybody is when he's bedding them? I wouldn't believe that with even a straight character. Would we want Malcolm to also be conflicted about being gay?