The point is that risk = higher return is an oversimplification. What that risk means is a significant chance of a much lower return.

Well yes. This is exactly why higher risk generates higher EV in an efficient market. Because of the significant chance of lower returns.

So if a basket of risky assets predictably overperforms... it isn’t actually that risky

Depends on your time horizon. The S&P 500 predictably generates higher returns than T-Bills, over a 100-year time horizon. But it is still very risky to a 70 year old retired pensioner. This risk is why the S&P 500 generates higher average returns than T-Bills