Optimization under uncertainty and risk is indispensable in many practical situations. We discuss stability of optimization problems using composite risk functionals which are subjected to measure perturbations. These functionals are non-linear in probability as well as in decisions. Our main focus is the asymptotic behavior of data-driven formulations with empirical or smoothing estimators such as kernels or wavelets applied to some or to all functions of the compositions. We analyze the properties of the new estimators and we establish strong law of large numbers, consistency, and bias reduction potential under fairly general assumptions. Our results are germane to risk-averse optimization and to data science in general.