Very much my thinking, especially when there are no significant commands you need to shell out to:

    import sys, pathlib
    basedir = pathlib.Path(sys.argv[1])
    for i in range(1, 501):
        if not (basedir / f'{i:04}_A.csv').is_file():
            print(i)

Just for fun some bash:

    for k in $(seq -f %04.f 1 501); do 
        f="${k}_A.csv"
        ! [[ -f "$f" ]] && echo $f || :
    done

or more succinctly,

    for k in {0001..0501}_A.csv; do
        ! [[ -f "$f" ]] && echo $f || :
    done

and if you have GNU parallel installed:

    parallel -kj1 '! [[ -f "{}" ]] && echo {} || :' ::: {0001..0501}_A.csv

Nice one!