Preheat oven to 400F and lightly grease a large sheet pan. Arrange fennel wedges and acorn squash halves on sheet pan and rub all over with 2 tablespoons olive oil, salt, and pepper to taste. Arrange acorn squash cut-side down on sheet pan and top with thyme sprigs.
Roast vegetables at 400F 35-40 minutes until fennel and acorn squash are very soft when pierced with a fork. Allow to cool slightly then use a paring knife to remove skin from squash and remove leaves from thyme sprigs.
Heat remaining 1 tablespoon olive oil in a large high-walled skillet or Dutch oven over medium-high heat. Add onion and saute 3-5 minutes until translucent. Add garlic and sage and cook 1 additional minute until fragrant. Pour 3 cups chicken broth into pot and bring to a low simmer, scraping up any browned bits with a wooden spoon. Add fennel, squash, and thyme to pot.
Ladle or carefully pour soup into a high-speed blender (or use an immersion blender) and blend on high until smooth.
Pour blended soup back into pot and stir in heavy cream and up to 1-1/2 cups remaining chicken broth as needed to thin soup. Bring soup to a low simmer over medium-high heat, cooking until heated through.
Season soup with salt and pepper to taste and serve warm with additional cream, fresh minced thyme, and pepitas on top. Enjoy!