Symmetric difference
APL (Dyalog Unicode), 3 bytes



∪~∩


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How it works

∪~∩  ⍝ Input: two sets as vectors
∪    ⍝ Set union
 ~   ⍝ Set minus
  ∩  ⍝ Set intersection




The rest is just for fun.

APL (Dyalog Unicode), 4 bytes



~∪~⍨


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~∪~⍨
~     ⍝ Set difference (a~b)
 ∪    ⍝ Set union
  ~⍨  ⍝ Set difference reversed (b~a)


APL (Dyalog Unicode), 5 bytes



~⍨∪⍨~


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This one is palindromic!

How it works

~⍨∪⍨~
~⍨     ⍝ Set difference reversed (b~a)
  ∪⍨   ⍝ Set union reversed
    ~  ⍝ Set difference (a~b)