Crashing the mosquito population greatly diminishes transmission of the disease.

Because malaria mostly infects humans, if you managed to create a malaria that conferred immunity, you'd have to infect lots and lots of people with it to spread it into the wild, and then it would only infect a subset of the people with the normal malaria strain.

Maleria reproduces asexually, so I guess it wouldn't work.

Immune mosquitoes would be good too, though certainly more challenging to engineer than "kill everything".