Adding a shade to the area under the curve is as simple as setting the 'shade' parameter to True.
# libraries & dataset
import seaborn as sns
import matplotlib.pyplot as plt
# set a grey background (use sns.set_theme() if seaborn version 0.11.0 or above)
sns.set(style="darkgrid")
df = sns.load_dataset('iris')
# density plot with shaded area with kdeplot 'shade' parameter
sns.kdeplot(df['sepal_width'], shade=True)
plt.show()
