how to check which songs from the collection are not assigned to any playlist in rekordbox???

You can find the answer in the post below:

https://forums.pioneerdj.com/hc/en-us/community/posts/20842985468441-Find-out-Playlist-a-rack-is-located-in

Yes. This shows me which playlist the song is on, 
but it's not about me clicking 20,000 songs in turn. 
I mean to sort everything under the account of songs 
not assigned to playlists with one click ....

That is the only way currently. If you select a track that is not assigned to any playlists and you press those arrows, it shows that the track is not in any playlist.