Having said that, to reflect the title itself I don't think Morse code has a very good bang-for-buck ratio for kidnapping.
Absolutely most people never get kidnapped, it's a very rare occasion statistically. Learning Morse code is not enough: you will have to use it repeatedly to keep remembering it, and I don't think you need Morse code very much in general life so you'll need to exercise your skills intentionally just in case a very unlikely event would happen. Further, to benefit from Morse code while being kept hostage you will need some medium through which to transfer knocks or beeps and you need another party who is both listening and can read Morse code.
It might make sense if your lifestyle calls for higher risks to be kidnapped, but even then I think there are wiser ways to spend your minutes trying to avoid being kidnapped in the first place.