Why is the sashelp.zipcode msa code only 4-digit? but many other places clearly show 5 digits?
I am not from the US and know nothing of MSA, but a web search for MSA ZIPCODE 4 DIGITS yields the answer to your question.
Metropolitan (and Micropolitan similar but different membership) Statistical Area codes are from a different coding system. Just like the FIPS codes that also appear in that data set
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