Not sure this is the correct place, but I would very much appreciate the ability to
pass a weight for each sample in kde density estimation.

There exits a adapted version of scipy.stats.gaussian_kde :
http://stackoverflow.com/questions/27623919/weighted-gaussian-kernel-density-estimation-in-python