Place the squash, sweet potato and carrots on a tin foil lined cookie sheet sprayed with nonstick cooking spray, and place in the oven with the squash bowls for 20 minutes.
Heat the olive oil in a large soup pot, then add the onions and sauté for 4 minutes, stirring often. Then add the garlic, thyme, sage, bay leaves, cinnamon, salt and pepper, and cook for another minute.
Add the roasted vegetables (while the acorn squash is still in the oven), and broth. Bring to a simmer and cook for 20 minutes.
Add the coconut milk.
Remove from the burner and very carefully add half the soup to the blender (only fill the blender ⅓ to ½ full) and blend until smooth. Pour into a large bowl. Purée the remainder and pour all of the soup back into the pot.