As someone who grew up in the midwest (specifically in Joplin, where we know a thing or two about tornados! [1]), I'll say those are largely ignored both in and out of work. I've never left work during a tornado. I've rarely even stopped working during a tornado -- the only time I even went to a basement was when we literally saw a tornado out the window from our desks. As soon as it passed, it was back to work. If you're at home, it's not unusual to go outside and see dozens of other people also outside, watching tornados. At night, the sirens are usually just an annoyance: you plug your ears and do your best to go back to sleep.