I havent read all the responses, but as a Social Worker - and one that recently worked for MASH (Multi-Agency Safeguarding Hub), I can tell you what will have happened. As you are pregnant, and your partner said he was suicidal and had guns in the house, they would have put in a referral into MASH as a serious safeguarding concern. Under the unborn baby protocol (we take unborn risk VERY seriously), the Social Worker would have done numerous checks in the 48 hours they had to work the case - in that time they would have called your midwife, got a police record, health record, followed up with GP if necessary, looked at social services record if there was any (sounds like there wouldn't be), contacted your childrens school (im sorry I know you are anxious about that but that would have been done), and contacted you. If all you got was a phonecall from the Social Worker stating case was closed, and not a visit, then it stopped there. However, the schools, GP, midwife etc would all have been informed about the SW involvement and it will be on all your children's record.
If you got a visit (which doesn't sound like you did) it meant the Social Worker deemed it worthy of a child and family assessment, which would have meant a face to face with yourselves, school etc, but then they deemed it worthy of closure.
If there is ever any concerns again then this incident will be taken into account by the Social Worker when making the decision to move things further investigation or close the case.
If you are acting protectively and your children are well cared for you have nothing to worry about - but I just wanted you to know what will have happened behind the scenes, as often the fear of the unknown is what scares parents.
At MASH we make calls all the time to parents - especially regarding unborns - that even I think are a bit overkill as it scares parents, but it is to protect the most vulnerable as stats show that if we can get involved during pregnancy there are better outcomes for those really at risk of harm. eg. we commonly make calls if a mother has had a history of DV or SA from a previous partner as research shows they can be more vulnerable. I loathe making those calls because often it frightens the mother who through no fault of her own had a past she is trying to get away from, but as I always explain it is designed to catch those who repeating a cycle of abuse and to support them as early as we can.
Hope that helps to explain and reassure you and others going through it somewhat. We arent monsters trying to interfere, we just want to safeguard kids.