Let $(M_i,g_i)$ be Riemannian manifolds, $i=1,2$. (Save Euclidiean factors) Is it true that a Killing field $Z$ on $(M_1\times M_2,g_1\times g_2)$ will split as a sum of Killing fields $Z=X+Y$, where $X$ is Killing on $M_1$ and $Y$ on $M_2$?
The converse is obviously true: if $X$ and $Y$ are Killing, so it is $Z$; and it is obviously false for a product of Euclidean spaces: $(\mathbb R^2,dx^2+dy^2)=(\mathbb R, dt^2)\times(\mathbb R, dt^2)$ and the isometry group of $\mathbb R^2$ is pretty bigger then the product of the groups of $\mathbb R$.
The question arises from a question on foliations: does Riemannian foliations with (reducible) totally geodesic leaves (locally) splits as products of orthogonal Riemannian foliations?
Use the Corollary of this paper:
(This is authors' stated Corollary, but from their main theorem it looks like we can weaken compactness to your requirement that $M$ has no Euclidean factor.)
Let $\zeta_t : \mathbb R \to I_0(M)$ be the one-parameter group of isometries generated by $Z$. The above fact means we can write $\zeta_t = (\xi_t, \upsilon_t)$ with $\xi_t$ acting on $M_1$, $\upsilon_t$ acting on $M_2$. Since $\zeta_t$ is a one-parameter subgroup, both $\xi_t$ and $\upsilon_t$ must be as well, and their generators $X,Y$ will satisfy $X+Y=Z$.