Step 1Carefully split squash lengthwise; scrape out seeds. Rub oil over cut surface. Roast at 400 degrees on lower rack, cut side up, until soft, about 30 to 40 minutes. When cool enough to handle, scoop out squash. You should have about 2 cups.
Step 2Heat butter in 3-quart pot over medium-high heat. When hot, add onion. Cook, stirring often, until softened, about 4 minutes. Add roasted squash, broth, nutmeg, salt and pepper to taste. Bring to boil, then reduce heat and simmer, covered, 25 minutes. Let cool at room temperature.
Step 3Strain vegetables from liquid, reserving both. Puree vegetables in blender with 8 large sage leaves. Add some cooking liquid and puree until mixture is very smooth, about 1 to 2 minutes.
Step 4Return to pot. Stir in cream. (Can be made ahead up to this point and refrigerated 2 days or frozen up to 1 month. To serve, gently reheat until hot; do not boil. Add water if soup is too thick.) Taste; adjust seasoning and add sugar, if desired. Serve hot garnished with small sage leaves.