I don't fully trust the vendors of anti-cheat software, but I don't think its fair to classify it as "malware". The "mal" in malware mean "malicious". I don't think most anti-cheat software operates with malicious intent.
Most malware is developed to serve some profit motive, not as a result of actual abstract malice toward the victim. I really don't think that's enough to disqualify it. Merrium-Webster defines malware as "software designed to interfere with a computer's normal functioning"[0]. WebRoot defines it as "any type of software designed to infiltrate or damage a computer system without the owner's informed consent"[1]. Red Hat's definition is a bit broader: "malicious software, including any software that acts against the interest of the user"[2]. Most anti-cheat software would fit all of these criteria, with perhaps some quibbling over what counts as "informed consent".