Why can't this leaderstats script work (it wont make leaderstats folder) ?

You need to make sure Studio API Service is enabled to do this open up the game then press the Home tab at the top of studio and navigate to Game Settings once you have clicked on Game Settings press the Options tab on the left hand side and switch "Enable studio access to api services" to On

Also make sure this is a script not a local script and this script is Located in ServerScriptService

In addition to what prestore said, you could also have a table containing all of your player's data, rather than a new store for each. You're going to get throttled using the Changed event. DataStores have a limit to how much you can save in a certain amount of time. You may consider saving data when a player leaves and a simple backup every x seconds. The below code is basic and does not cover pitfalls and caching, but you can get another idea for your next iterations as you continue.

local datastore = game:GetService("DataStoreService")
local PlayerData = datastore:GetDataStore("PlayerData");

local function key(player)
    -- returns 'azarth_#userid'
    return ('%s_%d'):format(player.Name, player.UserId)
end

local dummy_data = {
    ['Wood'] = 0;
    ['Brick'] = 0;
    ['Level'] = 1;
    ['XP'] = 0;
    ['gems'] = 0;
    ['MaxXP'] = 100;
}

local function load_data(player)
    -- return loaded data or dummy_data if we haven't played before
    return PlayerData:GetAsync( key(player) ) or dummy_data
end

local function create_leaderstats(player, data)
    local leaderstats_obj = Instance.new("StringValue")
    leaderstats_obj.Name = 'leaderstats'
    -- loop through our datastore table to create leaderstats
    for name,value in pairs(data) do 
        local stat = Instance.new("NumberValue")
        stat.Name = name;
        stat.Value = value
        stat.Parent = leaderstats_obj
    end
    leaderstats_obj.Parent = player
    return leaderstats_obj
end

local function save_data(player)
    local leaderstats = player:FindFirstChild("leaderstats")
    if not leaderstats then  warn( ' no leaderstats ' ) return end
    local success, msg = pcall(function()
        PlayerData:UpdateAsync( key(player), function(old_data)
            local newdata = {}
            for i,v in pairs(leaderstats:GetChildren()) do 
                if old_data then 
                    -- add to old data, instead of accidently resetting data
                    local value = old_data[v.Name]
                    -- constrain to certain names
                    if value then 
                        local difference =  ( v.Value - value ) 
                        -- the ammount we made since the last save
                        -- add to old data
                        newdata[v.Name] = value + difference
                    end
                else
                    -- save current new data 
                    local value = dummy_data[v.Name]
                    if value then 
                        newdata[v.Name] = v.Value
                    end
                end
            end
            return newdata
        end)
    end)
    if success then 
        print( (' Data for %s saved successfully'):format(player.Name) ) 
    else
        print ( "You should cache the player next time, data did not save" )
    end
end

-- Uppercase 'C' in connect, lowercase is deprecated
game.Players.PlayerAdded:Connect(function(player)
    local data = load_data(player)
    create_leaderstats(player, data )
end)

game.Players.PlayerRemoving:Connect(function(player)
    -- save when leaving
    save_data(player)
end)

-- basic backup
while wait(120) do 
    for i,v in pairs(game.Players:GetPlayers()) do 
        save_data(v)
    end
end