Since you still didn't post any new details (or I missed them?), could it be that the child experienced some kind of sexual abuse? It's the "do not tell Ms." that seems worrisome to me.
If I sound overly paranoid it is because we have two huge cases going on in Norwegian court now with one of them being against a kindergarten worker who abused children on the job and the other a father who abused random kids from his street.
Hopefully you will get confirmed that there was indeed a drill and that all the class was hiding. Just check that the kid and the teacher wasn't alone during the drill, as it seems like a situation easy to take advantage in a "we must be quiet because there is bad man looking for us" and "if you tell anyone the bad man will come back" kind of way.
Sorry if I am fear mongering, but my reaction to the OP is genuine concern based on current events over here.
The tactics of these drills sound pretty piss poor if the only plan is to lock the door and hide. Fuck hiding. Lock the door, get out the window, and scatter.
Yeah, maybe not such a good idea for young children, but this was what we were told to do in my high school.