Preheat oven to 400°F
Peel and cube the squash. Cut off the stems of the fennel bulb saving some of the fronds for garnish if desired. Dice.
Place squash and fennel in a large bowl add halved garlic cloves. Pour over 3 tbsp olive oil, 1 tsp of salt and cayenne pepper if using. Toss to coat. Pour mixture onto a baking tray and roast in preheated oven for 20-30 minutes or until nice and soft. Stir half way through roasting.
While vegetables are roasting dice onion and apples. Add 1 tbsp olive oil to to a large pot. Over medium heat saute onions until they are very soft, 6-8 minutes. Add apples, sage, nutmeg and 2 tsp of salt. Stir. If vegetables haven't finished roasting, remove onions from heat and set aside.
Add the roasted vegetables to the pot with onions and apples. Return to medium-high heat.
Add 4 cups of stock and reserve the extra 2 cups. Bring everything to a boil, reduce heat and simmer for 15-20 minutes.
Remove from heat and blend with a hand or regular blender. Adding more stock to achieve desired thickness. Taste and adjust seasoning.
If using cream, add it to the soup and stir, or pour a small amount into each serving. Garnish with pumpkin seeds and fennel fronds if desired.