"I've never read a script like it," she says. "It's just an astounding, beautiful, complex, dark, funny story."
Filmed in and around Queenstown and set in the fictional town of Lake Top, the series centres on the search for a 12-year-old girl who vanishes soon after it's discovered she's pregnant.
"What's so great is that although the story gets more and more intense as it progresses, you actually start to care less about the plot and more about the existential stuff; you start reflecting on your own story, your own life ... It's a mark of great storytelling.
"There were a number of moments during the shoot when we'd finish a scene and palpably feel we were part of making something quite unique and profound."
One of the key things Malcolm attributes the success of the shoot to is the way in which Campion, Lee and co-director Garth Davis "simply got a whole bunch of people around them they wanted to work with, and created an environment where you could bring everything you are as an individual to the project. And if that meant they had to shift characters around a bit to make them mesh better with particular actors, they'd do that.
"There was an enormous sense of equality and collaboration; that we were all in the same sandpit together."
That collaborative spirit included allowing time for the cast to improvise, rather than insisting they always stuck slavishly to the letter of the script.
"They were so sure of their story, they could afford to be quite relaxed and give us lots of rope to play with," Malcolm says. "And that's when actors are at their best - by nature we love to be anarchic and muck around and try stuff out, bugger it up, try something else, not worry about getting it right."
The success of this creative strategy is evident in the uniformly excellent performances of the ensemble cast, which is packed with Kiwis, even if the leads are played by well-known offshore actors such as Elisabeth Moss (Mad Men), Peter Mullan (My Name is Joe) and Holly Hunter (The Piano).
"Of course we weren't going to be the leads because we don't have that sort of cache internationally," says Malcolm. "But the local actors in supporting roles all get a moment to shine at various points throughout the series, and they all come up with the goods and do great work. For instance, wee Jacqueline Joe, who plays the missing girl, is a truly mesmerising young talent."
Malcolm's Top of the Lake character is Anita, an American member of a women's commune led by Hunter's cryptic guru GJ. Refugees from romantic rejection and other of life's disappointments, the group provide many of the lighter moments in a story that involves intimidation, murder and incest.
Described by Malcolm as "just a blip of hopelessness", Anita is a world away from her now iconic screen roles of Cheryl West in Outrageous Fortune and Ellen Crozier in Shortland Street; indeed, Anita's chronic lack of self-esteem makes even the meek eponymous character Malcolm played in the recent Agent Anna seem a model of confidence.
Malcolm is currently waiting to hear if TV One will grant Agent Anna a second season. The portents are positive: it rated well and the network is making encouraging noises.
"Fingers crossed Anna does come back," she says. "What's wonderful about the real estate industry is it's neither sexist nor ageist, so when you're portraying it you don't have to follow the usual, intensely boring television casting parameters. I'd love to continue to work with that great collection of actors, who were cast for their talent, not necessarily on the basis of age or appearance - which isn't to say they're not youthful or good-looking!" she laughs.
In the meantime, Malcolm's looking forward to observing how Top of the Lake is greeted at home, having already witnessed the rapturous reception it's received in the US and Germany.
"I hope New Zealanders will feel really proud," she says, "to see the part their landscape, their performers and their crew play in a piece of storytelling I think is moving, weirdly funny and completely gripping."
Top of the Lake starts screening on Sky's UKTV on Monday 25 March, 8.30pm.
