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

local datastore = game:GetService("DataStoreService")
local ds1 = datastore:GetDataStore("Brick")
local ds2 = datastore:GetDataStore("Wood")
local ds3 = datastore:GetDataStore("Level")
local ds4 = datastore:GetDataStore("XP")
local ds5 = datastore:GetDataStore("MaxXP")

game.Players.PlayerAdded:connect(function(plr)
 local folder = Instance.new("Folder", plr)
 folder.Name = "leaderstats"
 local gems = Instance.new("IntValue", folder)
 gems.Name = "Wood"
 local cash = Instance.new("IntValue", folder)
 cash.Name = "Brick"
 local lvl = Instance.new("IntValue", folder)
 lvl.Name = "Level"
 local xp = Instance.new("IntValue", folder)
 xp.Name = "XP"
 local max = Instance.new("IntValue", folder)
 max.Name = "MaxXP"
if max.Value == 0 then
	max.Value = 100
end
if lvl.Value == 0 then
	lvl.Value = 1
end
 
 gems.Value = ds1:GetAsync(plr.UserId) or 0
 ds1:SetAsync(plr.UserId, gems.Value)
 
 cash.Value = ds2:GetAsync(plr.UserId) or 0
 ds2:SetAsync(plr.UserId, cash.Value)

 lvl.Value = ds3:GetAsync(plr.UserId) or 0
 ds3:SetAsync(plr.UserId, lvl.Value)

 xp.Value = ds4:GetAsync(plr.UserId) or 0
 ds3:SetAsync(plr.UserId, xp.Value)

 max.Value = ds5:GetAsync(plr.UserId) or 0
 ds5:SetAsync(plr.UserId, max.Value)

 gems.Changed:connect(function()
  ds1:SetAsync(plr.UserId, gems.Value)
 end)
 
 cash.Changed:connect(function()
  ds2:SetAsync(plr.UserId, cash.Value)
 end)

 lvl.Changed:connect(function()
  ds3:SetAsync(plr.UserId, lvl.Value)
 end)

 xp.Changed:connect(function()
  ds4:SetAsync(plr.UserId, xp.Value)
 end)

 max.Changed:connect(function()
  ds5:SetAsync(plr.UserId, max.Value)
 end)

end)

wood and brick is cash and gems cos

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