Because it’s something you can actually react to. There’s almost no chance a tornado will hit your school but schools do tornado drills. All schools and businesses do fire drills. There was a time they did nuclear bomb drills and many buildings from the era have fallout shelters.
So yes it’s unlikely to occur. But it could and it requires very little effort to be prepared.
The main effect of these drills is to cause kids stress and anxiety, but I also wonder if it's possible that there may be some marginal benefit of increasing awareness and vigilance of warning signs among the kids and teachers.
Older American folks here may remember doing nuclear attack drills in school, where the kids were told to crouch under their desk.
So yes it’s unlikely to occur. But it could and it requires very little effort to be prepared.