Preheat the oven to 425 degrees F. Line a sheet tray with parchment paper.
Bring a large saucepan of water to a boil. Season with salt and add the lentils. Cook until just tender, 10 to 12 minutes. Drain and transfer to a large bowl to let cool to room temperature.
Meanwhile, spread the squash in a single layer on the prepared sheet tray. Sprinkle with salt, drizzle with 2 tablespoons olive oil, and sprinkle with pepper and the sage. Roast the squash until it begins to brown, 15 to 20 minutes.
Toss the mushrooms in a bowl with 2 tablespoons oil and salt and pepper to taste. Add the mushrooms to the squash and roast until the squash is tender, about 10 minutes longer. Toss in the walnuts and continue to cook to toast the walnuts, another 3 to 4 minutes.
Whisk together the mustard, vinegar, salt and pepper to taste and the remaining 1/4 cup olive oil in a small bowl. Set aside.
Add the squash, mushrooms and walnuts, parsley, radishes, apples and vinaigrette to the bowl of lentils and toss to coat evenly. Serve.