Arrange the oven racks in the upper and lower thirds of the oven and preheat the oven to 450°F. Line 2 baking sheets with parchment paper.
Spread the squash, onion, and garlic on one of the prepared baking sheets, drizzle with the melted butter, and sprinkle with the pepper and 1 ½ teaspoons of the salt. Toss to coat evenly. Roast on the upper rack, stirring twice, until the squash is lightly golden, 35 to 40 minutes. When cool enough to handle, remove the skins from the garlic.
For the croutons: Meanwhile, toss the bread, melted butter, parmesan, garlic powder, salt, and pepper in a large bowl. Spread the bread on the second prepared baking sheet and bake on the lower rack until golden brown and crisp, 10 to 12 minutes. Allow to cool completely.
Transfer the roasted vegetable mixture to a large Dutch oven. Add the chicken broth, sage, and remaining 1 teaspoon salt and bring to a boil over medium-high heat. Reduce to a simmer and cook until the squash is very tender, about 10 minutes.
Puree the soup with an immersion blender or countertop blender, in batches if necessary, until smooth. Return the soup to the pot, if necessary, and stir in the heavy cream, sherry vinegar, and nutmeg. Add salt and pepper to taste.
Serve the soup topped with a swirl of heavy cream, some pepper, and the croutons.