Sql not exist, returning 0 rows and should return one
I don't know table schema of both tables, but assuming they have the same schema you can do something like this:
SELECT
    *
FROM 
    xptoPrimary.dbo.CcArtigos AS tPrimary
WHERE
    Tipo_Doc in ('INE','INS') 
    AND Armazem=2 
    AND data_mov &gt;='01-07-2018'
WHERE NOT EXISTS (SELECT 
                      1 
                  FROM 
                      xptoSecondary.dbo.CcArtigos as tSecondary
                  WHERE 
                      tPrimary.cod_art = tSecondary.cod_art 
                      AND tPrimary.Tipo_Doc = tSecondary.Tipo_Doc
                      AND tPrimary.Armazem = tSecondary.Armazem
                      AND tPrimary.data_mov = tSecondary.data_mov);

That is, for each row of tPrimary table, there isn't a row in tSecondary that match the same criteria.