...assuming that the bike has at LEAST enough compression to blow air past your finger whenever you remove the plug, place your finger firmly over the hole to seal it off, and kick the engine over, THEN most likely your problem is jetting: KDX are famous for it from the factory. Do a search on jetting spec's for your locale on the KDX subforum on this site that Canadian Dave has...
KDX's are excellent all-around little bikes; I have owned several and have one on hand even now!