Excluir elementos de matriz coincidentes

Se parece a XOR entre matrices:

WITH set1 AS
(
 SELECT * FROM unnest('{1, 2, 5, 15}'::int[])
), set2 AS
(
 SELECT * FROM unnest('{1, 2, 3, 6, 7, 9, 15}'::int[])
), xor AS
(
  (SELECT * FROM set1
   UNION 
   SELECT * FROM set2)
  EXCEPT
  (SELECT * FROM set1
   INTERSECT 
   SELECT * FROM set2)
)
SELECT array_agg(unnest ORDER BY unnest)
FROM xor

Salida:

"{3,5,6,7,9}"

Cómo funciona:

1. Anular el anidamiento de ambas matrices
2. Calcular SUMA
3. Calcular INTERSECCIÓN
4. De SUMA - INTERSECCIÓN
5. Combinar con matriz

Alternativamente, podría usar la suma de ambas operaciones menos (excepto):

(A+B) - (A^B)
<=>
(A-B) + (B-A)

Utilizando FULL JOIN :

WITH set1 AS
(
 SELECT *
FROM unnest('{1, 2, 5, 15}'::int[])
), set2 AS
(
 SELECT *
 FROM unnest('{1, 2, 3, 6, 7, 9, 15}'::int[])
)
SELECT array_agg(COALESCE(s1.unnest, s2.unnest) 
                 ORDER BY COALESCE(s1.unnest, s2.unnest))
FROM set1 s1
FULL JOIN set2 s2
  ON s1.unnest = s2.unnest
WHERE s1.unnest IS NULL
  OR s2.unnest IS NULL;

EDITAR:

Si solo desea elementos de la segunda matriz que no lo son, primero use EXCEPT simple :

SELECT array_agg(unnest ORDER BY unnest)
FROM (SELECT * FROM unnest('{1, 2, 3, 6, 7, 9, 15}'::int[])
      EXCEPT
      SELECT * FROM unnest('{1, 2, 5, 15}'::int[])) AS sub

Salida:

"{3,6,7,9}"