Great example. PowerShell is definitely underrated. I don’t care to use it as an interactive shell, and that likely turns many off to it, but now that it’s cross platform I think it’s massively underrated for these sorts of tasks.
I don't think that example really shows the benefits of the "Powershell way". There's hardly any need for objects and what-not when solving an easy problem like this; strings will do just fine. With Bash, a close equivalent would be:
for f in {0001..0500}_A.csv; do test -e $f || echo $f; done