Adjust one oven rack to middle position and one rack to lowest position. Heat oven to 400 degrees.
Peel the butternut squash, remove the seeds, and cut it into 1/2-inch cubes. About 2 ½ cups. Place the squash on a rimmed baking sheet and toss it with the olive oil, ½ the sage, 1/2 teaspoon salt, and 1/4 teaspoon pepper. When oven reaches 400 degrees, place the pan of butternut squash on the lowest rack. Roast for 20 to 25 minutes, until very tender.
In a medium saucepan, combine broth, water, and bay leaf and bring to a simmer over medium-high heat. Cover and keep warm over lowest possible heat.
While broth is warming, melt butter in Dutch oven over medium heat. Add shallot and ¼ teaspoon salt and cook until lightly browned, about 4-6 minutes. Stir in rice and cook until edges begin to turn translucent, about 2 minutes. Stir in garlic and remaining sage and cook until fragrant, about 30 seconds. Add wine and cook, stirring until completely absorbed, about 1 minute.
Add warm broth to rice. Cover Dutch oven with sheet of aluminum foil, pressing down so that it rests directly on top of broth. Crimp foil around edges and cover pot with lid for tight seal. Bake on middle rack until rice is tender and liquid is absorbed, about 13-17 minutes. Discard bay leaf. Stir in Parmesan cheese and butternut squash and season to taste with salt and pepper. Cover and set aside. Serve warm with a sprinkle of parsley on top.
Notes
Note: Butternut Squash: save time and use precut butternut squash making sure the pieces are uniform in size, about ½ inch cubes. Roast at the same time the risotto cooks.Do ahead -- Wrap the bottom of your Dutch oven with a sheet of tin foil and press it into shape. Use this in step 5 rather than wrangling with the foil and possibly tearing it or burning yourself.