If you have the time and patience to lend an ear to allow the player to vent or talk about problems, since sometimes that's all they need, ok. However, to not try to take any sort of "counselor" position. Not really offer advice other than to give information about help sites and help hotlines, etc.
From BrightLights but edited a very tiny bit:
So, something like: "Is there something I can do? If you are feeling alone, or you feel that things are hopeless, I can help you to get in touch with someone who can help you."
"However, I need to let you know that I am also worried that hearing
about people harming themselves is going to trigger someone else and
leave them in a bad state. I would like to be able to help you if you
want to talk in PM. But if this keeps being discussed in area, I will
have to mute you temporarily."
This is basically for suicide talk, can also be for any other type of self-harm that you encounter.