Symmetric difference operation in Transact-SQL?

All set operators are translated to joins or join-like operators. You can witness that in the query plan.

For that reason the full outer join that you have there is the most efficient you can do. Disregarding, of course, the hopefully rare situation in which the optimizer picks a bad plan and a rewrite happens to perform better by luck. This can always happen.

I think this is a pretty good solution. It uses a union all between two selects with Not Exists sub-queries. Better than combining Union and Except because you can include fields that don't match in the projection.

SELECT  'A' TableName, FileType FROM KFX_Inventory I 
    WHERE Not Exists (Select Top 1 1 from KFX_FileType FT WHERE FT.FileType = I.FileType)
UNION ALL
SELECT  'B', FileType FROM KFX_FILEType FT 
    WHERE Not Exists (Select Top 1 1 from KFX_Inventory I WHERE FT.FileType = I.FileType)