Honda xr250 hard to start when cold

Air blowing back from the carbs is a sign your intake valves are leaking. They do this when there is not enough gap between the valves and the rocker that opens the valves. They need to be set to 0.003 inches when cold and with the piston at top dead center of the compression/power stroke

Stator/magneto failing. takes more juice to rev the bike, so it takes from the lighting.

Valve adjustment and timing likely targets here. Had a 250 L with same symptoms, found timing/valves the cause.

if it runs then the plug is not the problem
what is the problem is the carby
check that the choke is operational;, the float level is at the right level, and the ignition timing is correct

try to adjust the carburetor air adjuster , some klx has blind the adjuster , dont worry you can only pull that put ..

SAE 10W30 SE motor oil for the crank case