I have folders, each folder have children (document sets, but that doesn't really matter).
How, if possible, can I create a new view that will list all the folders for which at least one child has the property PROP_A having the value ABC?
OOTB you can create a custom view. Set the filter to look against if its content type column is a folder or Prop_A = ABC. this will filter the underlying item but will show all folders.
unfortunately to get the folders only showing that actually contain any items within them would require a coded method.