I have both. Had the KDX for a couple years to learn how to have fun on dirt. I'm 55 and like to get on the gas and have raced it in a GP but I'm not much of a hot rod. The KDX has a pipe, rejetted, and I run it hard in desert rocks, sand, and gravel and it has been lots of fun, little maintenance, ultra reliable. I thought I needed to try to power of a 2 stroke 500 so I picked up a KX5 with a pipe, lots of suspension work, etc. Where I can hold the KDX open through the gears I can give the KX a few seconds of throttle before I had to mellow out.
The 500 bears not resemblance to any 125 powerband, that is what really impresses me is that I can be in an upper gear, no revs needed, and I can just pull out of corners or up hills like a friggen locomotive. Last week I can to a mud pit after a desert rain and just had to take the line right through the middle, I started slowing and had visions of getting stuck but a little throttle and I was out no problem. I'm probably still faster on the KDX in any tighter stuff but my comfort with the KX is growing fast and I have to remind yself that there are good reasons to keep the KDX. I think you'd like the KX, I got a 97 with about $1500 of after market protection and suspension work for just over 2K, just got it's first new top end before I got it. When I was looking a couple months ago there were several for sale in AZ on cycletrader. I'm in NM.