I didn't realize Zsh (and Bash) was capable of removing zero padding in that way.
Everybody has there own style, but I would prefer to print the missing file pattern and avoid loops.
If you have GNU parallel installed (works in bash)
parallel -kj1 '! [[ -f "{}" ]] && echo {} || :' ::: $(jot -w %04d_A.csv - 1 501)
or if preferred parallel -kj1 '! [[ -f "{}" ]] && echo {} || :' ::: {0001..0500}_A.csv