Preheat oven to 400 degrees F. Line 2 baking sheets with parchment paper
Slice acorn squash in half horizontally and scoop out seeds and pulp. Peel sweet potato and cut into roughly 2-inch cubes. Dice onion and peel and dice carrots to equal sizes. Set aside.
Place acorn squash cut-side up onto one of the baking sheets. Brush the exposed parts of the squash with olive oil and sprinkle with salt and pepper. Bake in oven for 45 minutes.
Add sweet potato cubes to other parchment-lined baking sheet and drizzle with olive oil and generously season with salt and pepper. Mix and add to bottom rack of the oven, roasting for about 25 to 30 minutes, stirring halfway through.
When the squash is just about 10 minutes from being finished, peel apples and dice into 1/2-inch pieces. In a dutch oven or large soup pot, add 1 to 2 tablespoons olive oil over medium-high heat.
Add in diced onion and carrot. Cook for about 8 to 10 minutes, until onions just start to brown. Toss in garlic cloves and diced apples, cooking for another 2 to 3 minutes.
Pour in 2 cups of the vegetable broth and reduce heat to medium.
Stir in 2 tablespoons dried sage and roasted sweet potato. Stir until combined.
Add 2 more cups vegetable broth and return to a simmer. Scoop out acorn squash and add into the pot. Simmer for another 10 minutes.
Remove pot from heat and use immersion blender to puree the soup, until mostly smooth. The soup should be rather thick at this point.
Stir in coconut milk, adjust seasoning and serve.