As most people have said, this is very normal and something all schools should have in place and practise for all manner of reasons.
The fact some claim not to be aware of them at their kid's schools shows what a great job most schools do of underplaying it to the children so as not to cause fear, alarm or upset. I'm sure not every child will go home and report to their parents that they did a fire drill that day. Some will, but many will have forgotten about a 10am fire drill by home time as it's so mundane. Same with lockdown practise. They may not even be aware they're doing it.
Given what has just happened in Southport, I'm surprised why anyone would question why this is necessary. Obviously a member of the public wielding a weapon in the local area would be the most extreme of lockdown situations, but many people have given great examples to explain why a school may need to lockdown at any point. Hiding under desks would only be for the most extreme circumstances (but can easily be turned into a game for young children). Most lockdown scenarios would just require everyone to be inside (so playtime/outside PE abandoned if in progress) and all doors to be locked.
Apparently my own primary school locked down for real when I attended during the 90s. I wasn't even aware at the time, it was only when my mum told me years later when we were discussing the topic of school lockdowns. She worked at the school at the time, and apparently the school got a call from the police telling them a prisoner has escaped from the local prison. It was lunchtime, and apparently us children were told we needed to go in early as very heavy rain was forecast. I have no recollection of this. Lockdown doesn't even need to be explicitly explained to children. As long as they're all safely inside their classrooms and accounted for, the day can continue as 'normal' for them in most situations. It would only be the most extreme of situations that hiding under the tables etc would be required.
Schools all need a lockdown policy. The need to practise it. They don't need to make a big deal of it. The calmer the school are, the more likely the kids will be completely oblivious to it.