yes you need to act. he has to leave and get well/sober. that is wholly down to him.
his depression/alcoholism is his problem - yes you can chose to stay and "suport" him - but your children have no choice.
you are forcing them to live in what you describe as hell. it is not fair to them.
re: his suicide threats - if he is at a poitn where eg he has a knife in his hand etc then just get out and call 999. they will take him to A&E and he will get help.
but sounds like is emotional blackmail...
you have a right to live free of his depression and drinking and teh behaviours that com with that.
if he wont seek help then you dont need ot feel any guilt about moving on and seeking a bette rlife for youa dn your children. above all - do it for the children.
but you need support - speak to womens aid, local doestic violence support orgs (even if not physical violence he is being emotionally abusive eg suicide threats ) CAB and local housing office - find out how much you would get HB and benefits etc.
you can support a partner who is depressed/has an addiction and who is actively seeking help and recognizes their issues - you cannot support and stay with someone who is not. you cannot subject your children to this any more.
it will be a long and bumpy road - but get on the road.