Preheat the oven to 400 degrees Fahrenheit.
Place the butternut squash halves on a baking sheet, cut side up. Brush with 1 tablespoon of the melted butter and season with salt and pepper, to taste. Bake in the preheated oven for 50 minutes to 1 hour, until knife tender.
Once the squash is tender, place the halves on a wire rack to cool.
In a large stockpot, melt the remaining tablespoon of butter over medium-high heat. Add the diced yellow onion and diced apple and sauté until tender, about 3 to 5 minutes. Add the garlic, sage, salt and pepper. Sauté for an additional minute. Scoop out the flesh from the butternut squash with a spoon and add to the stockpot.
Add the broth to the stockpot and bring to a boil over medium-high heat. Reduce to a simmer and cook for 10 minutes, stirring occasionally. Season with cayenne pepper. Remove the stockpot from the stove and stir in the heavy cream.
Using an immersion blender, purée the soup until smooth. Alternatively, purée the soup in batches using a blender (be sure to leave the pour spout open and cover with a kitchen towel to allow the steam to escape). Season with salt and pepper, to taste.
Garnish with a drizzle of heavy cream, croutons, and chopped fresh sage.