Preheat Oven: Preheat your oven to 400°F (200°C).
Prepare Vegetables: Spread the diced butternut squash, chopped carrots, quartered shallot, and unpeeled garlic cloves on a baking sheet. Drizzle with 1-2 tablespoons of olive oil, and add the cumin, ginger, nutmeg, salt, and black pepper. Toss to coat all the vegetables.
Roast Vegetables: Roast in the preheated oven for 30 minutes or until the vegetables are tender and slightly caramelized.
Cool and Peel Garlic: After removing the vegetables from the oven, allow them to cool down. Squeeze the roasted garlic out of their skins.
Blend Roasted Vegetables and Broth: Add the roasted vegetables and vegetable broth to a blender. If you have a high-speed blender that can cook/heat soup, you can continue to blend for 5 minutes until the soup begins to steam out of the top. When it's done, add the coconut milk and blend for 30 seconds more for a delicious soup. If you're using a regular blender, continue to the next step.
Heating the Soup: Add the blended soup to a pot and bring to a boil, then simmer for 10 minutes. Stir in the coconut milk until warmed through. Reserve some coconut milk if you want to make any designs on the soup's surface.
Garnish and Serve: Serve with toasted pepitas and fried sage for a nice presentation. See notes for directions.