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Preheat oven to 400°F. Place butternut squash cubes and olive oil in large bowl; sprinkle with coarse kosher salt and ground pepper and toss to coat.
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Spread out squash cubes on large rimmed baking sheet. Roast until just tender and beginning to brown, stirring occasionally, about 35 minutes.
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Meanwhile, melt 3 tablespoons butter in heavy medium skillet over medium-low heat. Add sliced onions and chopped sage; sprinkle with salt and pepper. Sauté until tender but not brown, about 15 minutes.
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Coat 11x7-inch baking dish with remaining 1 tablespoon butter.
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Spread half of onion mixture over bottom of prepared baking dish. Sprinkle with half of squash and half of cheese. Repeat layering with leeks, squash, and cheese.
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Preheat oven to 375°F. Pour cream evenly over gratin. Sprinkle with toasted chopped hazelnuts.
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Bake uncovered until gratin is heated through and cream is bubbling, about 30 minutes.