Preheat oven to 350 F. Lightly oil a 9X13-inch casserole dish; set aside.
Heat oil in a medium pot over medium heat. Add onions and cook, stirring often, until softened, 5-7 minutes. Add squash, coconut milk, salt, and pepper, and bring to a boil. Cover, reduce heat to medium low and simmer until squash is tender, about 20 minutes. Stir in sage and simmer 1 minute more (This part can be done before, up to a day in advance).
Meanwhile, bring a large pot of salted water to a boil. Add macaroni and cook until tender but still firm, about 8 minutes. Rinse in cold water, drain well, and transfer to a large bowl. Transfer squash mixture to bowl with macaroni. Add walnuts, salt, and pepper, and toss to combine. Transfer prepared dish and top with bread crumbs. Bake until just golden brown and hot throughout, about 30 minutes.