Preheat your oven to 400 degrees Fahrenheit. Cut the butternut squash into small cubes (about 1/2 inch on each side) and place on parchment paper on a baking sheet. Sprinkle with salt and pepper to taste and drizzle with olive oil. Roast in the oven 20-30 minutes, until golden and caramelized around the edges, then set aside.
Make the sage pesto. It's good to make this towards the end of the dough's rise. Place the parmesan cheese, sage, parsley, nuts, and garlic in the food processor; blend until combined, then add the olive oil slowly while processing. Add the lime juice; process once more, then remove from the food processor and place in a bowl. Add salt and pepper to taste, then cover the bowl with plastic wrap and place it in the fridge, where it will stay until assembly.
Prepare the nutmeg cream sauce. Mix the milk and cream together in a small saucepan and heat them on low heat. Meanwhile, heat the butter in a medium saute pan on medium heat; add the minced shallot and cook 1-2 minutes while stirring to remove the sharpness from the shallot, then add the flour and cook an additional 1-2 minutes. Then add the wine; reduce 2-3 minutes before adding the warmed milk and cream mixture. Reduce an additional 5-10 minutes, or until the sauce reaches a thick consistency; remove from heat. Add a pinch of nutmeg and salt and pepper to taste.
Prepare the rest of the toppings for assembly. Tear the prosciutto into strips; crumble the goat cheese; grate the Parmesan. Cut the onion into long pieces and cook it in some olive oil over medium-low heat until it caramelizes, adding a pinch of white sugar if necessary.