A phrase whose meaning is different from a combination of its constituents?

What you describe is referred to as a multiword expression (MWE) - one definition of which is idiosyncratic interpretations that cross word boundaries (or spaces). A fuller description (too detailed to be sensibly reproduced) can be found here.

Examples include: kick the bucket, throw to the lions.

At least in Natural Language Processing, yes, this is frequently referred to as a "non-compositional phrase", or occasionally "non-compositional expression", "non-compositional idiom" or "non-compositional compound".

A couple examples:

• Dekang Lin's paper "Automatic Identification of Non-compositional Phrases" http://www.aclweb.org/anthology-new/P/P99/P99-1041.pdf

• Google's Patent for "Identifying non-compositional compounds" http://www.google.com/patents/US8572081

The answer is 'idiom'.

This is the original meaning of the term, from French idiome, via late Latin from Greek idioma. (Oxford Dictionary of English; not OED). 'A group of words established by usage as having a meaning not deducible from those of the individual words.'