An escalation policy for your moderators outlines what situations need special handling and what should occur when they are identified. For an example, see the BBC’s policy.
The idea is that some things simply transcend normal, everyday issues. Suicide threats, grooming of children, etc. When they are identified what should happen? That’s what an escalation policy is. What action should a moderator take?
That action might simply be referring it to someone else in your organization who is more specifically trained for these issues. It might mean referring it to the administrator or community manager. Or it might mean sending relevant details to an outside party, such as the police. This will vary by your community, country, the size of the organization and what your lawyers tell you to do (if you have lawyers).
In general, making an effort goes farther than not making an effort. It isn’t to say that if you don’t have a policy, you won’t make an effort. But having a policy allows you to hopefully make an effort in a more expeditious manner. It helps to minimize panic and encourage progress.
While the advent of first moderation escalation processes was likely incidents themselves where people were unprepared, it is worth considering writing a policy for your community, even if it is never used. This is one of those things where it is much better to have one and never use it, than to need one and not have it.