Heat oven to 400ºF (200ºC). Use a vegetable peeler to remove the skin and white flesh. Cut the butternut squash in half lengthwise and scoop out the seeds and discard. Rub the squash all over with the olive oil and season with salt then place cut side down on a large baking sheet.
Roast until the squash is just beginning to soften, about 20 minutes. Remove to a cutting board and use a sharp knife to make crosswise slices into the rounded sides of the squash, being careful not to cut completely through.
Return the squash to the pan sliced side up. The squash should hold their shape and still look like full squash. Drizzle all over with honey and continue to roast until the squash is extremely tender, about an additional 30 to 35 minutes.
For the cinnamon mascarpone spread:
While the squash roasts, add the mascarpone, confectioners sugar and cinnamon to the bowl of a stand mixer and whisk until combined.
For serving:
Spread the cinnamon mascarpone on a platter or plate and top with hasselback squash and walnuts. Garnish with sage leaves and serve immediately.