Problems with number values?

.Changed is an event of Instance, but you used it on the actual value of the instance, which is a number.

DS = game:GetService("DataStoreService")
MaxKi = DS:GetDataStore("kiMaxSave")
game.Players.PlayerAdded:Connect(function(plr)
    print(plr.Name.."has joined the game")
    local stats = Instance.new("Folder") --second argument of .new() deprecated
    stats.Name = "Stats"
    stats.Parent = plr
    KiMax = Instance.new("NumberValue", stats)
    KiMax.Name = "KiMax"
    KiMax.Value = MaxKi:GetAsync(plr.UserId) or 0
    KiValue = Instance.new("NumberValue", stats)
    KiValue.Name = "KiValue"
    KiValue.Value = KiMax.Value 
    KiMax.Changed:Connect(function()
        MaxKi:SetAsync(plr.UserId, KiMax) 
    end)
end)

Here's another example of using the event:

game:GetService("Players").PlayerAdded:Connect(function(plr)
   local IntValue = Instance.new("IntValue")
   IntValue.Parent = plr
   IntValue.Changed:Connect(function(property)
     print(property)
   end)
   wait(3)
   IntValue.Value = 5 --will print the name of the property changed - "Value"
end)