Let $P$ denote the set of all prime numbers, $E$ the set of even numbers greater than 2, and $$X:=\{e\in E \,\,|\,\, \exists x,y\in P: x+y=e \}.$$
Note that if Goldbach’s conjecture (that all even numbers are expressible as the sum of two primes) is true, then $X$ is the set of all evens greater than 2, and that otherwise, it is “missing” some evens.
Are sets like this “allowed” in ZFC, i.e., constructable using ZFC axioms? If yes, then what happens if Goldbach’s conjecture is undecidable? Wouldn’t that cause problems/paradoxes for set theory?
Yes, this set can be defined. The axiom schema of separation says that if $S$ is a set and $\varphi$ is any property that can be expressed in the first-order language of set theory, then $\{x\in S:\varphi(x)\}$ is a set. In particular, your set $X$ is trivial to define in this way starting from $S=E$ (or $S=\mathbb{N}$).
Note that being able to "construct" this set in ZFC in this context merely means that we can prove it exists: that is, we can prove there exists a set $X$ such that for all $x$, $x\in X$ if and only if $x$ is an even natural number that is a sum of two primes. It doesn't mean that we can explicitly figure out what all its elements are or anything else like that. So, there is nothing deep or paradoxical about being able to construct this set in ZFC. If Goldbach's conjecture were independent of ZFC, this would just mean that ZFC cannot prove $X=E$ and also cannot prove $X\neq E$, which in no way conflicts with being able to prove $X$ exists.