There are an average of 47 lightning fatalities each year. Roughly 1 in 7 million people.
School shooting homicides...1 in 3.4 million students, annual average.
Our population is twice as likely to be killed by lightning than our kids are to be shot and killed at school.
Have you ever heard anyone claim that "we shouldn't have to live in fear of being killed by lightning?". No, because that'd be irrational.
We shouldn't teach our kids to fear this super uncommon event either. Nor should we as parents fear it. Teach them how to respond, sure. Teach them to be scared, nope. They need to know how unlikely it is to happen.