Preheat oven to 375°F. Place garlic cloves in squash cavaties, sprinkle with dried sage, and cover with foil. Place on baking sheet, cut side up, and bake for one hour. Cool slightly. Peel squash and garlic. Puree in a food processor.
Combine broth and water in a large saucepan. Bring to boil and then gradually whisk in the polenta. Reduce heat to medium-low and cook until mixture is thick and creamy, stirring often, about 20 minutes. Stir in the sage, squash and garlic puree,cooking until heated through, about 3 minutes. Add the parmesan cheese and season with salt and pepper.