Preheat your oven to 400°F (200°C). Place the butternut squash halves cut-side down on a baking sheet lined with parchment paper. Roast for 30-35 minutes until the squash is completely tender when pierced with a fork.
Once the squash has cooled enough to handle, scoop the flesh into a large bowl and mash thoroughly with a fork until smooth. For ultra-smooth results, pass the squash through a ricer or food mill. Spread the purée on a baking sheet and let it cool completely.
In a large bowl, combine the squash purée, beaten egg, grated Parmesan, salt, nutmeg, and ground sage. Mix well, then gradually add the flour, about ½ cup at a time, stirring with a wooden spoon until a soft dough forms.
Transfer the dough to a floured work surface. Divide it into 6 equal portions. Roll each portion into a rope about ¾-inch thick. Cut each rope into 1-inch pieces. For the classic gnocchi ridges, press each piece gently against the tines of a fork, rolling it slightly to form indentations.
Heat olive oil in a large skillet over medium heat. Add the sausage, breaking it up with a wooden spoon as it cooks until browned and cooked through, about 5-7 minutes. Transfer the cooked sausage to a plate lined with paper towels to drain excess fat.
In the same skillet, add the diced onion and cook until translucent, about 3-4 minutes. Add the minced garlic and chopped sage, cooking for another minute until fragrant. Pour in the white wine and scrape up any browned bits from the bottom of the pan. Simmer until the wine is reduced by half, then add the chicken broth and bring to a simmer.
While the sauce simmers, bring a large pot of salted water to a boil. Cook the gnocchi in batches, dropping them into the boiling water and removing them with a slotted spoon once they float to the surface, about 2-3 minutes. Transfer the cooked gnocchi directly to the sauce.
Return the cooked sausage to the skillet with the gnocchi. Add the heavy cream and butter, stirring gently to coat the gnocchi with sauce. Cook for another 2-3 minutes until the sauce thickens slightly. Season with salt and pepper to taste.
Serve hot, garnished with fresh sage leaves and additional grated Parmesan cheese if desired.