Preheat oven to 500 degrees F.
Place squash on large rimmed baking sheet. Drizzle with 2 tablespoons oil and sprinkle with salt and pepper; toss to coat. Roast until tender and beginning to brown, stirring occasionally, about 25 minutes.
Bring stock to simmer in heavy large saucepan. Reduce heat to very low. Heat 2 tablespoons oil in another heavy large saucepan over medium-low heat. Add onion and cook until it begins to wilt, about 2 minutes. Add rice; stir 1 minute. Add wine and simmer until absorbed, about 2 minutes. Add roasted squash. Add 1/2 cup hot stock; simmer until absorbed, stirring frequently. Add remaining stock 1/2 cup at a time, allowing stock to be absorbed before adding more and stirring frequently, until rice is tender and mixture is creamy, about 25 minutes longer.
Season, to taste, with salt and pepper. Add cream, butter, sage, chives and Parmesan; stir until heated through. Serve immediately. Garnish with whole sage leaves and additional grated Parmesan.