I'd question whether a guaranteed savings instrument underperforming the stock market really is a risk, or not? Rather, you reap what you sow.
There's a trade-off, and one makes a choice. If one chooses to invest in a highly conservative, low-risk asset class, then one should expect lower returns from it. That doesn't necessarily mean the return will be lower — stock markets could tank and a CD could look brilliant in hindsight — but one should expect lower returns. This is what we learn from the risk-return spectrum and Modern Portfolio Theory.
You've mentioned and discounted inflation risk already, and that would've been one I'd mention with respect to guaranteed savings. Yet, one still accepts inflation risk in choosing the 3% CD, because inflation isn't known in advance. If inflation happened to be 2% after the fact, that just means the risk didn't materialize. But, inflation could have been, say, 4%.
Nevertheless, I'll try and describe the phenomenon of significantly underperforming a portfolio with more higher-risk assets. I'd suggest one of:
- the risk of "being too conservative", or "being too safe",
- the risk of "being unaware of financial theory" (MPT and the risk-return spectrum),
- or, the risk of "not taking enough risk"?
Perhaps we can sum those up as: the risk of "investing illiteracy"?
Alternatively, if one were actually fully aware of the risk-reward spectrum and MPT and still chose an excessive amount of low-risk investments (such that one wouldn't be able to attain reasonable investing goals), then I'd probably file the risk under psychological risk, e.g. overly cautious / excessive risk aversion. Yet, the term "psychological risk", with respect to investing, encompasses other situations as well (e.g. chasing high returns.)
FWIW, the risk of underperformance also came to mind, but I think that's mostly used to describe the risk of choosing, say, an actively-managed fund (or individual stocks) over a passive benchmark index investment more likely to match market returns.