Using a vegetable peeler, remove the squash's hard shell. Trim about 1/2-inch off the top and bottom ends so you can set each section of the squash flat on a cutting board. Cut the squash in half lengthwise. Scoop the seeds out with a spoon, and coarsely chop the squash into 1/2-inch chunks. Line a baking sheet with aluminum foil. In a bowl, toss the squash with the oil, sage, spice blend, and 1 teaspoon salt and fresh ground pepper. Spread the squash in a single layer on the baking sheet. Roast the squash in the oven until very soft and beginning to brown, 40 to 50 minutes, stirring once or twice. Remove the squash from the oven and puree in a food processor with fresh nutmeg.
In a large bowl, mix the squash puree, ricotta, Parmesan, eggs, 1 teaspoon salt, and 1/2 teaspoon pepper. Cover and refrigerate the mixture until ready to use.
In a large pot of boiling, salted water, cook the lasagna sheets until al dente. Drain the sheets and spread them on a baking sheet. Drizzle them lightly with oil and set aside.
Prepare the sauce: In a large saucepan, bring the milk to a slow simmer over medium heat. In a large pot, melt the butter over medium-low heat. Add the sage and garlic to the butter, cook for 30 seconds, then add the flour and stir. Add about 3 cups of the milk, and whisk vigorously to prevent lumps. Bring to a boil, while whisking continuously. Add the remaining milk and whisk again. Add the salt, pepper, and nutmeg. Adjust the heat to low to maintain a slow simmer, and cook until the sauce coats the back of a spoon, about 5 minutes, whisking frequently. Remove the saucepan from the heat. Makes about 8 cups.
Preheat the oven to 375 degrees F.
Butter a 9 by 13-inch baking dish. Spoon a ladle of bechamel into the dish and spread to coat the bottom. Place a single layer of lasagna sheets on top of the bechamel. Spread some of the squash mixture evenly over the lasagna sheets and sprinkle about 2 tablespoons of mozzarella cheese and 1 tablespoon of grated Parmesan on top. Repeat this step until all ingredients are used, starting with 2 to 3 ladles of bechamel for each layer. Keep building the layers until the pan is full to about 1/4-inch from the top. Finish with cheese and sauce directly over the noodles. Bake in the middle of the oven for about 1 hour. Remove the cover, and continue cooking for another 15 minutes until golden brown and bubbling. Allow lasagna to rest before slicing. Serve warm.
Fennel and Cinnamon Spice Blend:
Grind fennel with mortar and pestle. Add the cinnamon and salt and continue grinding. Or grind in spice grinder for a rough grind.