|Highlight the values in Column B|
Use Conditional Formatting with this rule, assuming your data starts in B1. Adjust as required.
Whatever values in Column B are not found in Column A will be formatted with the format you chose.
Another option is to place a formula similar to this in Column C and drag it down alongside the data in Column B:
=IF(ISNA(MATCH(B1,A:A,0)),"Value Not In Column A", "")
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