I'm 38 and the only drills we did in school were fire drills. I had no idea lockdown drills were even a thing. I have a big problem with (for lack of a better work) 'culture of fear'. If the school wants to put the classroom in a hiding spot while a 'bad guy' walks the halls looking for them then I want to know and opt out.
They should have notified you our district sent out a notice. I know some places let parents opt out for the younger kids.