1..500 | ?{ !(Test-Path ('{0:0000}_A.csv' -f $_)) }
Explanation:1..500 generates a sequence of numbers 1 through 500
| pipes the numbers
?{ … } is a filter that is evaluated for each item (number)
! negates the following expression
Test-Path tests that a file exists
-f formats the string left of -f with the parameters (zero-based to the right of -f
'{0:0000}_A.csv' is a pattern which formats parameter 0 as 4 digits, zero-padded.
EDIT: Explanation