Preheat oven to 425°F (220°C). Place squash in a large bowl and toss with olive oil until evenly coated. Transfer squash to a rimmed baking sheet, arranging in a single layer, and place in oven until browned around the edges, about 30 minutes, tossing halfway through. Remove from oven and set aside.
Melt butter in a medium saucepan. When foaming subsides, add sage leaves and cook until they darken and crisp and butter browns slightly. Transfer sage leaves to a paper towel-lined plate. Add shallots to pan and sauté until softened, about 5 minutes. Add chicken stock and squash, bring to a boil, then reduce to a simmer, cover, and cook until squash is completely tender, about 10 minutes.
Using an immersion blender, or transferring to a countertop blender, purée until completely smooth.
Stir in parmesan cheese and heavy cream and cook until warmed through, about 2 minutes. Season with salt and pepper to taste. Either crumble reserved sage into sauce, or use as a garnish. Use immediately