In my version of Excel (2003), the help for DATEVALUE makes it clear that
the text string being input into DATEVALUE has to be in one of the forms
which Excel will recognise as a date, such as "1/30/2008" or "30-Jan-2008"
or 22-AUG-2008" or "2008/02/23" or "5-JUL".
You have given it something that looks like a number, not like a date.
In other answers you have been given a number of answers.
The Data/ Text to Columns option is often the best.
If you particularly wanted to feed your existing number (which you have
recognised doesn't actually contain the leading zero) into the DATEVALUE
formula you could use
=DATEVALUE(LEFT(TEXT(A2,"000000"),2)&"/"&MID(TEXT(A2,"000000"),3,2)&"/"&RIGHT(A2,2))
but you need to remember that anything that looks at a mm/yy/dd format
relies on Windows Regional Setting (not Excel settings) to distinguish it
from dd/mm/yy.
A simpler way, avoiding the use of DATEVALUE, is simply to use
=--TEXT(A2,"00\/00\/00"), but it suffers from the same dependence on
regional settings.
The problem you had with Glenn's formula and your loss of leading zeroes
could be addressed by
=DATE(100+RIGHT(A2,2),LEFT(TEXT(A2,"000000"),2),MID(TEXT(A2,"000000"),3,2))