Preheat oven to 425°F. Toss together squash, oil, salt, pepper, sage leaves, and garlic cloves on a large rimmed baking sheet. Roast for 15 minutes. Add apple to baking sheet, stirring to combine; roast until squash and apple are tender, 10 to 15 minutes. Set aside.

Meanwhile, make the risotto: Bring broth to a simmer in a medium saucepan over medium-high; reduce heat to maintain a gentle simmer. Set aside ½ cup broth.

Cook bacon in a large high-sided skillet over medium, stirring occasionally, until bacon is rendered and crisp, 8 to 10 minutes. Transfer to a paper towel–lined plate using a slotted spoon; set aside.

Add shallots, sage, and thyme to drippings in skillet; cook over medium, stirring occasionally, until softened, about 3 minutes. Add rice; cook, stirring constantly, until rice is translucent around edges, about 3 minutes. Add cider; cook, stirring occasionally, until cider is almost completely absorbed, 1 to 2 minutes.

Increase heat to medium-high, and ladle 1 cup simmering broth over rice until just covered. Cook, stirring occasionally, until rice absorbs most of the broth, about 3 minutes. Continue adding broth, about ½ cup at a time, stirring often, until nearly absorbed between additions and all remaining broth is used, 15 to 18 minutes total. Remove risotto from heat.

Transfer 1 cup roasted squash mixture to a small bowl; set aside for serving. Transfer remaining squash to a blender or food processor; add reserved ½ cup broth, and process until smooth, about 45 seconds.

Stir squash puree into risotto until well blended; add Parmigiano-Reggiano cheese and cold butter. (Do not stir.) Cover and let stand for 2 minutes. Uncover and add reserved cooked bacon; stir vigorously until butter is completely melted and risotto is thick, smooth, and glossy, about 2 minutes. Add additional salt to taste, if desired.

Divide risotto evenly among 4 plates. Top evenly with reserved roasted squash mixture; garnish with additional thyme. Serve immediately.