Safety is a general term for procedures that ensure players of a game are supported and comfortable during play.
This can include procedures to follow before starting play, as well as those to reference when something comes up during play that makes a player feel uncomfortable.
Since Lost & Found games are predominantly solo experiences, there are fewer safety concerns than when you're dealing with multiple people.
However, it's still worth considering two main areas of Safety in your game:
Content warnings: explicit flags for any challenging writing in your game—Tables, Agents, Traits etc.
Loneliness: several common themes of Lost & Found games could trigger a negative response in a player if they are struggling with feelings of loneliness or isolation. We might ask a player to imagine what it feels like to be alone for a long period of time, or even misused and discarded.
Raising these issues before players start can help prepare them for what's to come, or let them make an informed decision to put off playing for the moment.
You might also want to explicitly ask players to take breaks. It can be quite exhausting writing these stories, especially if players are enthused enough to write paragraphs of story for each Agent. The pause between Agents or Acts are both good times to consider prompting players to take a break.
This game is designed to be played alone, mitigating many of the consent issues associated with playing games together.
However, as an intentionally solitary, somewhat melancholy experience, it may not be the best thing to play when struggling with feelings of loneliness.
If the game leaves you feeling isolated, or you are already struggling, there are good online resources that might help. Mind, a mental health charity, have a series of tips & support options here.
If you decide to involve multiple people in a Lost & Found game, you will have to consider how to try and prevent players from introducing content that makes others feel unsafe (and have procedures in place if they do anyway).
The TTRPG Safety Toolkit, created by Kienna Shaw & Lauren Bryant-Monk, is a great starting point if you'd like to know more about safety techinques & practice within the RPG space.