Anemia in general confers a protective effect against malaria, be it iron deficiency or falciform, or chronic disease anemia. Iron excess may increase the risk of adverse events associated with malaria and other infections in non iron deficient children living in malaria endemic areas. the consensus regarding these associations has been that iron interventions in such populations should be done in coordination with malaria control actions.
Given the research on micronutrient therapy in slowing HIV disease progression, I think a multi, regardless of nutritional status, makes sense. Of course, access to as good and diverse a diet along with clean water as humanly possible make sense. Extra vitamin B12 won't hurt and might help (tho it sounds like you have dx'd iron deficiency anemia). I guess it depends on how bad the anemia is, if the malaria control is adequate as Erick notes and be watchful of the dose and duration.
Kind of a sad and horrific commentary that after all these years, all these billions in aid from places like Gates and what not we still can't get adequate nutrition to so many millions. Rather an indictment, yes?