Slice whole butternut squash lengthwise into halves. Scoop out seeds and place both halves with the flesh side up on a baking sheet.
Split the sunflower oil between both halves by pouring into the well of each. Then use your fingers to rub the oil over the flesh side of each half until fully coated.
Season with salt and pepper to taste.
Roast for approximately 45-55 minutes until flesh is soft enough to be scooped out easily. When the squash is ready, set aside until it is cool enough to handle. Then, scoop out all of the flesh into a bowl.
When the squash is nearly done, heat olive oil in a soup pot over medium heat.
Add onion and cook for 5 minutes, stirring frequently.
Stir in sage and butternut squash. Cook for 5 more minutes, stirring frequently.
Add broth and wine. Bring to a boil.
Cover and reduce to simmer, cooking for 20 minutes.
Remove from heat and let stand 5 minutes.
Using an immersion blender, puree mixture until no chunks remain, being careful not to splash hot liquid.
Stir in coconut milk and return to a simmer, cooking for 5 more minutes.
Season with additional salt and pepper if desired.