When a lightning strikes serious damage can be suffered.
Hence, I think you should see this video as a reminder of taking such bad weather seriously:
The video is from the 2019 U.S. Womens Open, where play was suspended.
As you can see the lightning struck a tree not far away from several players.
The Rules of Golf.
The Rules of Golf (Rule 5.7a) states:
A player may stop play if he or she reasonably believes there is danger from lightning, but must report to the Committee as soon as possible..
Thus you are allowed to stop play even though play has not (yet) been suspended.
Take it serious!
Often people don’t take bad weather too seriously, but instead continue playing despite thunder and lightning nearby. But my advice would definitely be to immediately stop play and go inside if you reasonable believe that lightning might is coming.
As you can see on the tree, when lightning strikes seriously damage can occur!