Maybe at the particular school you worked at, or the particular school district, but it's certainly not something that "all US schools" are "supposed to do" every month.
Please don't make assumptions about where I live or what the schools do or don't do where I live. If you have a question about it, feel free to ask, but don't make assumptions.
People may wish to look online as to the efforts that their community does to make citizens safe.
I thought this one from hospitals in CA was so professional and the care and planning that goes into keeping people as safe as possible is as reassuring as it could be for a horrifying incidident.
http://www.calhospitalprepare.org/active-shooter
There are incredibly long documents including those from the FBI and Homeland security which give guidance to schools for their Emergency Operations Plans.