I'm trying to do this in Enterprise Guide, with a task, otherwise I would just use a data step.
In a data step, this would be:
data names;
input name $;
datalines;
John
Mary
Sally
Fred
Paul
;
run;
data check;
input name $;
datalines;
Mary
Fred
;
Proc sort data=names; by name; run;
Proc sort data=check; by name; run;
Data work.not_in_check;
merge names(in=n) check(in=c);
by name;
if n and not c;
run;