I am repeating a question a asked more than 2 years ago.

If I am not wrong after DJI_0999.JPG comes DJI_1000.JPG.

Right?  Not for DJI
It creates a new folder and start over with DJI_0001.JPG

Why is that?

Yes, it is a bit annoying as now we are creating files with the same name as files created earlier.

That's just the way it has been programmed.  The P2V+ went to 9999 but every Phantom since only goes to 999

The maximum is limited to 0999 due to the Design Rule for Camera File System.

DJI Susan Posted at 2017-10-17 20:32
The maximum is limited to 0999 due to the Design Rule for Camera File System.

Design Rule for Camera File System? First time I see I cannot surpass 999. Doesn't make sense.

Just to help others, in Mac I batch rename (right button on all selected files) DJI_0287 to P4P_01287 (replace DJI_0 by P4P_01, P4P_02, etc..) I change DJI by P4P because I also have OSMO and P3P.
Sometimes numbering is reset because of upgrades or other unknown reason.
In that case if last file is P4P_03659, next DJI_0001 is renamed to P4P_10001 so the count jumps from 3659 to 10001.

This is discussed on the subject wiki page under DCF Objects.  Apparently in DJI's system, the first number must always be a zero.  Hence DJI_0999 must become DJI_0001.

https://en.wikipedia.org/wiki/Design_rule_for_Camera_File_system

DJI Susan Posted at 2017-10-17 20:32
The maximum is limited to 0999 due to the Design Rule for Camera File System.

The maximum is limited to 0999 due to the Design Rule for Camera File System.

I wonder how it can be that other camera manufacturers have their file system go from 0001-9999.

The Design rule for Camera File system can be viewed here:  http://www.exif.org/dcf.PDF
On page 9 it says .....
3.2.   File definition
3.2.1.  DCF file names
File names conforming to the following rules are called DCF file names
•  The file name is 8 characters (not including the file extension).
•  The first four characters consist only of the upper case alphanumeric characters shown in Table 1-1.  These are referred to as the DCF file name Free  characters.  They shall not contain two-byte characters or special codes.
•  The four characters that follow are a number between "0001" and "9999".  "0000" shall not be used. •  •  These four digits are referred to as File number.
•  Files with the same file number stored in the same DCF directory are considered to be object component files as defined in 3.2.2.

The Design Rule allows for 4-digit file numbers.  
Other manufacturers use 4-digit file numbers.
Why does DJI use 3-digit file numbers?

Labroides Posted at 2017-10-19 17:48
The maximum is limited to 0999 due to the Design Rule for Camera File System.

I wonder how it can be that other camera manufacturers have their file system go from 0001-9999.

'Why does DJI use 3-digit file numbers?'

Interestingly, the Wiki article notes that Panasonic roll over their numbers at 999 as well.