They do have them, and the ones that don't, have strengthed portions of the structures for shelter. But this was a huge, powerful tornado (most likely EF5, from what I have seen on TV) and there is really nothing you can do to protect yourself from that powerful of a tornado, expect to get far underground. These are the ones that raze any structure to the ground, winds over 260 MPH. The most powerful winds ever recorded in a tornado were 318 MPH, in the tornado that came through Moore in 1999, on nearly the same path.
We had a tornado here in Maryland that struck a school back in the 30’s, a few years ago another tornado struck that same school.
Maybe it would be wise not to build in that same spot.