I'm sure a proper solution will arrive later.
You could exclude all but "999" to one file. Then use JOINKEYS with that file as the second against the original file. Take those that are unmatched and you have your data.
I'm thinking something like the following:
//DROP999 EXEC PGM=SORT
//SYSOUT DD SYSOUT=*
//INA DD *
AAAAAA 001
AAAAAA 999
BBBBBB 012
CCCCC 012
DDDDDD 013
DDDDDD 014
DDDDDD 999
EEEEEE 010
EEEEEE 011
//INB DD SYSOUT=*
//SYMNAMES DD *
FILE-KEY,1,6,CH
RECORD-DONT-WANT-INDICATOR,8,3,CH
RECORD-DONT-WANT-VALUE,C'999'
//SORTOUT DD SYSOUT=*
//SYSIN DD *
OPTION COPY
JOINKEYS F1=INA,FIELDS=(FILE-KEY,A),SORTED,NOSEQCK
JOINKEYS F2=INB,FIELDS=(FILE-KEY,A),SORTED,NOSEQCK
JOIN UNPAIRED,F1,ONLY
//*
//JNF2CNTL DD *
OPTION COPY
INCLUDE COND=(RECORD-DONT-WANT-INDICATOR,EQ,RECORD-DONT-WANT-VALUE)
//*
Unfortunately I can't test it, and I'm only learning about DFSORT as well. I have hopes that it would work, but no idea or if optimal. My first JOINKEYS attempt