Preheat oven to 400 degrees. Peel, half, and de-seed the squash, then cut it into 1-inch cubes. Toss the squash cubes and carrots with olive oil, place them on a parchment paper-lined baking sheet, and bake for 30 minutes.
Meanwhile in a large pan, sauté the onion and garlic on medium heat until golden, adding sage leaves in the last 2 minutes. In a large bowl, combine squash, carrots, onions, stock, coconut milk, cumin, paprika, and salt/pepper.
Blend this together (using an immersion blender or standard blender) until smooth. Transfer to a pot and simmer for at least 30 minutes, stirring occasionally.
Serve warm, drizzle over heavy cream, and top with a pinch of chives.