How to use DataStore with FilteringEnabled?

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

game.Players.PlayerAdded:connect(function(player)
	local stats = Instance.new("Folder",player)
	stats.Name = "Stats" -- creates a leaderboard

	-- CREATES KILLS VALUE --
	local killsvalue = Instance.new("NumberValue", stats)
	
	killsvalue.Name = "Kills" -- creates a leaderstat value
	killsvalue.Value = killsds:GetAsync(player.UserId) or 0 -- gets past value
	killsds:SetAsync(player.UserId,killsvalue.Value) -- sets a new value
	
	-- LEAVE BACKUP SAVE --
	game.Players.PlayerRemoving:connect(function(player)
		print("Saving Data for user "..player.UserId)
		killsds:SetAsync(player.UserId,player.Stats.Kills.Value)
		print(player.UserId.."'s Data has been saved successfully.")
		if error then
			print("DATA ERROR: "..player.UserId.."'s Data has been saved unsuccessfully")
		end
	end)
end)

I know you have to do something with a RemoteFunction but I'm not exactly sure what to do. Help is much appreciated.

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)