If I install it on purpose to guarantee to other players that I am not cheating then it is not malware.

If you install malware on purpose, it will still be malware.

Running in kernel space does not automatically make something malware. There are legit reasons for some software to run in kernel space, and anti-cheat is one of them. It performs a useful function for users who want to play online games without cheaters. Running proprietary software in kernel space may not be worth the trade off to you, and that's fine and I agree personally, but that doesn't make it "malware."