Hi @Content_Remote_
You're on the right track with a REGEX() formula! You could create a REGEX formula here to make a field that says 'What in Field 1 does not exist in Field 2'. The function could look a bit like the following:
REGEXREPLACE(REGEXREPLACE({Field 1}, "(" & REGEXREPLACE({Field 2}, ", ", "|" ) & ")(, )?", ''), "(, )$", "")
Admittedly, this solution isn't completely perfect for your use case. For example, it's a one-way formula. It will only look to see if Field 2 is missing values from Field 1, but not vice versa.
I'm sorry we don't have a formula in place that can more directly solve this issue. Comparing arrays or strings to find missing values is complex, and while I'm happy to add your vote in favor of this feature, please note it could take some time for our Formula team to find a solution that is compatible with our many field types.