While Justice Kennedy did not explicitly mention Kim Davis during his talk, he did affirm that government officials who find part of their jobs morally wrong should simply resign.
From ThinkProgress:
Justice Anthony Kennedy, a member of the Supreme Court’s conservative bloc who nevertheless has authored several important gay rights opinions, suggested during an event at Harvard Law School last Thursday that public officials who do not wish to follow the Court’s marriage equality decision should resign...
Nevertheless, the thrust of Kennedy’s remarks suggested that he believes that officials in Davis’s position should choose to either follow the law or resign. After alluding to the fact that very few judges resigned from the Nazi German government, Kennedy offered his endorsement to officials who do quit when asked to do something they find morally repugnant. “Great respect, it seems to me, has to be given to people who resign rather than do something they view as morally wrong, in order to make a point,” Kennedy told the Harvard audience.
He qualified this remark, however, by adding that “the rule of law is that, as a public official in performing your legal duties, you are bound to enforce the law.” Thus, Kennedy appeared to be saying that so long as an official remains in their office, they must enforce the law even if they disagree with it. Resignation, of course, relieves them of this obligation.