As a kid we had quite a few bomb scares, meant getting as far away from the building as possible playing on the school field all afternoon. We loved it.
At school we have a normal fire drill once or twice a year. We might also have a “fire drill” where one of the kids sets off the alarm either by accident or because they’re being a pain.
There are varying degrees of lockdown. We’ve had a few “quiet” lockdowns where there is a possibility of something happening. This is usually a case of closing the windows, pulling the blinds down, shutting the door and not letting kids out of the room. Usually someone will just come to the door and ask us to do it without the kids realising.
You’ve then got an alarmed lockdown, this will be as the OP suggests. I can’t remember us having a drill for this though.
I also have an earthquake drill… but that’s only because I have a topic involving earthquakes and want to show what children in other countries have to deal with. The kids love it.
BTW don’t just think of a lockdown being needed for a terrorist threat. It could be as someone suggested above that there’s someone wanted by the police who could be close to school. It could be that there is a genuine threat from elsewhere, an example being a threat from a parent who has just had their children taken in to care.