How to use DataStore with FilteringEnabled?

You connected the events a little wrong. To put it simply, this is how your code is:

local DataStore = game:GetService("DataStoreService")
local killsds = DataStore:GetDataStore("Kills")

game.Players.PlayerAdded:connect(function(player)
    --Execute
    game.Players.PlayerRemoving:connect(function(player)
        --execute
    end)
end)

To put it simply, you can't connect it this way. It should be:

local DataStore = game:GetService("DataStoreService")
local killsds = DataStore:GetDataStore("Kills")

game.Players.PlayerAdded:connect(function(player)
    --Execute

end)
game.Players.PlayerRemoving:connect(function(player)
    --execute
end)

Now, there are a few things to note: First, the player removing event will Not fire in time if the last person is leaving the server, or if the server is shutdown for whatever reason, as the game is closing. Secondly, you have some un required code. If the only thing you want to save is kills, then the final script should look like:

local DataStore = game:GetService("DataStoreService")
local killsds = DataStore:GetDataStore("Kills")

game.Players.PlayerAdded:Connect(function(player) -- connect must be Connect btw
    local stats = Instance.new("Folder",player)
    stats.Name = "Stats" -- creates a leaderboard
    local killsvalue = Instance.new("NumberValue", stats)
    killsvalue.Name = "Kills" -- creates a leaderstat value
    killsvalue.Value = killsds:GetAsync(player.UserId) or 0 -- gets past 
end)
game.Players.PlayerRemoving:Connect(function(player)
    killsds:SetAsync(player.UserId,player.Stats.Kills.Value)
end)
game:BindToClose(function() -- if the last player in the game leaves, don't close the server down until it's saved
    local p = game.Players:GetPlayers()
    for a=1,#p  do
        local player = p[a]
        killsds:SetAsync(player.UserId,player.Stats.Kills.Value)
    end
end)