Two ways I have used to find stray PDFs that haven't been moved, albeit both external to Zotero:
(1) Use your OS's file search routine to find any PDFs under the Zotero\Storage hierarchy.
(2) I use FreeFileSync (Windows app) for backups. It shows me all new files under Zotero\Storage since the last backup. So it's easy to see any new stray PDFs that haven't been moved yet.

this would be a very useful feature, seems like it should be possible to set up a search for this but it doesn't seem to be.
I sometimes end up wanting to make sure a set of items is all on zotero storage (tricky to switch from linked to local, but that's another story), and without this it's necessary just to try moving all of them to be sure, or select one by one.

Adding to my manual method above for finding locally stored PDFs (that I have omitted to have Zotfile move to my linked storage folder), I now use the code below run in Tools\Developer\Run Javascript. It returns a list of all PDF files that are (still) under the local Zotero\storage folder hierarchy ...

var sql = "SELECT (? || '\\storage\\' || key || REPLACE(path,'storage:','\\')) AS filepathnames FROM itemAttachments JOIN items USING (itemID) WHERE libraryID=1 AND path IS NOT NULL AND path LIKE ? ORDER BY filepathnames";
var filepathnames = await Zotero.DB.columnQueryAsync(
sql,
[
Zotero.DataDirectory.dir,
'storage:%.pdf'
]
);
return filepathnames.join('\n');

Not sure if I'm understanding exactly what you're asking, but the list on its own may only be a useful starting point for solving file placement problems. It does at least show you the 'size' of your problem.

Once the list tells you which local PDFs you have omitted to move to your linked folder (Zotfile's Custom Location), you would have to initiate those file moves manually. My javascript/Zotero skills unfortunately aren't up to automating those PDF file moves directly from the list, and then updating Zotero's record of the attached PDF location.

Doing it manually within Zotero, the first issue is figuring out from each local PDF file path in the list which item the PDF belongs to. But if you had PDF file auto-renaming when the file was stored, that should be easy to tell from the PDF title. Then of course you can move each file individually in Zotero by selecting its item (or Ctrl-click to select more than one at a time), and then selecting Zotfile's Manage Attachments\Rename and Move. Depending on the number of files involved, that could still be a big job. But you probably already knew that !

@tim820, could you recommend how to modify the query you've suggested above so that it finds *linked* PDFs in a specific drive or directory?

On my two machines, I have Zotero linking to attachments in a folder on D:\. But for one of these machines, the D:\ path is a symlink to S:\. And apparently I mistakenly on one machine I moved some files and then linked to them as in S:\, so those links are now broken on the machine where I don't have an S:\.

Thanks so much for any thoughts you may have!

@dstark glad you sorted out a way to do it. The following code would also get you a list of all linked files (PDFs and others) that Zotero knows about under S:.

var filepathnames = await Zotero.DB.columnQueryAsync('SELECT path AS filepathnames FROM itemAttachments WHERE path LIKE ? ORDER BY path','S:%');
return filepathnames.join('\n');

The list may also include missing attachments - that is attachment files that Zotero thinks are in the linked location folder but are not still there.

The list will not include 'orphans' - that is, any attachment files in the linked folder location that Zotero no longer has a record of.