It is genuinely worth two or three nights, and I say that as someone who lives here. The old town is compact and walkable, the Alcazaba and Roman theatre sit right in the centre, and there are more good small museums than a city this size has any right to. Two full days covers the historic core, the Picasso museum, the port promenade and an evening of tapas without rushing. A third day gives you the Gibralfaro walk, Malagueta beach and time for a slower lunch.
Where people go wrong is treating it as one night before moving on – you end up seeing the cathedral and a queue for churros and nothing else. If your total trip is short, I would rather cut a night in Nerja than a night here.
October is a good call, by the way: warm sea, thinner crowds, and the light is lovely. Our
things to do in Málaga guide lays out what actually earns the time. How many nights do you have in total?