It's just an suggestion New Yorker, and I don't even know what the plot is beyond "We're Pirates". Azura Star is spoken of in the book
Modern Heretics, which can be found in the Mystic Archives at the Arcane University, where Malakaus had spent some of his years learning Enchanting. I'd imagine that he could have asked some of the professors on more information about the Azura Star, if simply for the pursuit of knowledge. Even if they don't tell him anything, Malakaus isn't some soft mage who needs a guardian to escort him; he could very well just take some time off to look for Azura's Shrine himself and ask the coven there. While it's unlikely that they'd allow him to commune or for Azura to take notice of him, unless they try to kill him on the spot they would likely be willing to preach to him about the powers of Azura and her artifact. Why he couldn't get the Star than would likely be because Azura herself does not want Malakaus to be her champion, so the opportunity never presented itself. Things could be different this time, if the Commander willing.
And I'm only making ideas because it's not like Commander has given us a clear set definition of what we're going to be doing later. We have short term plans, sure, but I don't know any overarching plot that demands our attention all the time. Instead of waiting around for something to happen, I'm just filling the time doing something. Despite what you may think, Malakaus isn't just a simple barbarian. He wants to kill, sure, but he wants new and exciting ways to kill. Guns and explosions is new and exciting until, like hitting people with his axe, it becomes boring and repetitive. If he hasn't gotten himself killed yet, he'll likely find new ways to do harm to others. Of course, he'd need money to make guns, and pirating is a fun way to make money that allows him to kill people sometime, as well as a chance to test out new ways to kill people. He has a plan and something to do with his time, which just so happens to work in Sharee's favor.
At least I bother to let you all involved in the success or failure of Malakaus's endeavors. His initial attempt to take on the Miriam didn't go anywhere because I decided that instead of thinking that it'll work because I want it to, I let Ryo decide by making Noelle follow through with it. She didn't, so the plan was a flop. Malakaus Boom Stick won't go anywhere without Sharee's assistance either, since neither one of Malakaus's Alchemist knows what to do with it. If Sharee chooses not to follow through with it, than Malakaus ends up with either a piece of shrapnel on a stick or a glorified club, at best. Even his plans for the Glass weapons and Armor won't go anywhere if Sarel for some reason chooses not to take the chest with him. Hopefully when Sharee sends the rest of the crew to clear out the cave Malakaus can still work on it, but again it's in your hands now.