Preheat the oven to 425°F. Place a rack in the centre of the oven.
Line a baking sheet with parchment paper and place the squash slices side by side, making sure they don’t overlap. Drizzle with the olive oil to cover all squash slices and season with salt and pepper. Roast for 20 minutes, or until the squash is tender. Remove from the oven and reserve.
In a saucepan, sauté the minced shallot and sage in 15 mL (1 tbsp) of olive oil until the shallot is tender, about 5 minutes. Sprinkle with flour and, using a wooden spoon, mix continuously for a minute. Add the cream and milk and whisk to dissolve the flour. Bring to a boil, then reduce the heat to the minimum and simmer for 4 to 5 minutes to thicken the sauce. Add 125 mL (½ cup) of the Saputo grated Parmesan cheese and the nutmeg and mix to incorporate. Season with sea salt and black pepper to taste. Cover and reserve.
In a small bowl, combine the breadcrumbs, 60 mL (¼ cup) of the Parmesan cheese, hazelnuts, 30 mL (2 tbsp) of olive oil, salt and black pepper using a fork. Reserve.
Before serving, set the oven to broil. Transfer the roasted squash slices to a baking dish. Pour the sauce over the squash. Sprinkle with the gratin mixture. Broil until the sauce is bubbly and the gratin is golden brown. Garnish with chopped hazelnuts and crispy sage leaves.
Note: To make crispy sage leaves, heat 30 mL (2 tbsp) of olive oil in a small skillet. Add fresh sage leaves and fry for a few seconds on each side. Transfer to a paper towel and reserve until ready to use.