How to Make It
Preheat oven to 425°F. Cut a small slice off skin side of each squash half so they will sit flat while baking. Transfer to a large rimmed baking sheet.
Drizzle squash with oil, and season with kosher salt; sprinkle evenly with sage. Roast until squash is tender and begins to brown, about 40 minutes. Let squash cool completely, about 30 minutes. Reduce oven temperature to 300°F.
Whisk together coconut milk, cream, egg yolks, sugar, pepper, orange zest, and fleur de sel in a large bowl until well combined. Pour coconut mixture evenly into well of each squash. Bake at 300°F until custard begins to set and jiggles slightly like gelatin, about 55 minutes. Let cool to room temperature, at least 1 hour and up to 3 hours. (As squash cools, custard will set up further.) Cut squash halves in half; transfer to a platter. Drizzle brown butter over top, and sprinkle with toasted walnuts.