Data isn't saving, Why?

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It is not recommended to use Instance.new with parent argument PSA: Don't use Instance.new() with parent argument

And you should wrap SetAsync in a pcall in case it throws an error.

local SAS = game:GetService("DataStoreService"):GetDataStore("SavingAllStats")

game.Players.PlayerAdded:Connect(function(player)
	local leaderstats = Instance.new("Folder")
	leaderstats.Name = "leaderstats"
	local Deaths = Instance.new("IntValue")
	Deaths.Name = "Deaths"
	local Kills = Instance.new("IntValue")
	Kills.Name = "Kills"
	local Panies = Instance.new("IntValue")
	Panies.Name = "Panies"
	Deaths.Parent = leaderstats
	Kills.Parent = leaderstats
	Panies.Parent = leaderstats
	leaderstats.Parent = player
	local DKSaved = nil
	local success, err = pcall(function()
		DKSaved = SAS:GetAsync(player.UserId)
	end)
	if success and DKSaved ~= nil then
		Deaths.Value = DKSaved.Deaths
		Kills.Value = DKSaved.Kills
		Panies.Value = DKSaved.Panies
		print("Data loaded!")
	elseif not success then
		warn(err)
	else
		print("New Player")
	end
	player.CharacterAdded:Connect(function(char)
		local Human = char:WaitForChild("Humanoid")
		Human.Died:Connect(function()
			player.leaderstats.Deaths.Value += 1
			local Tag = Human:FindFirstChild("creator")
			local Killer = Tag.Value
			if Tag and Killer then
				Killer.leaderstats.Kills.Value += 1
			end
		end)
	end)
end)

game.Players.PlayerRemoving:Connect(function(player)
	local UserId = player.UserId
	local leaderstats = player.leaderstats
	local success, err = pcall(function() 
		SAS:SetAsync(UserId, {
			Deaths = leaderstats.Deaths.Value, 
			Kills = leaderstats.Kills.Value, 
			Panies = leaderstats.Panies.Value
		})
	end)
	if not success then
		warn(err)
	end
end)