They do but there is usually a clause that says they won't pay out if the suicide occurs within two years of taking out the policy
"Is suicide covered by life insurance in Australia?
https://tinyurl.com/y7qbvsr9
With the raising awareness of mental illness in Australia, you are now able to buy policies that cover suicide. Having suicide covered by life insurance policies in Australia is common however generally the policy needs to be in place for longer than 13 months from the date of issue.
Mar 24, 2017"