While the butternut squash is cooling, heat the remaining 1 tablespoon of olive oil in a large dutch oven or stock pot over medium heat. Add the onion and apple with a pinch of salt and saute until they soften and turn translucent, stirring frequently (7-10 minutes). Add the garlic and cook an additional 1-2 minutes or until the garlic is fragrant.
Add 3 cups of the broth, sage, thyme, cayenne (if using - I'd start with 1/4 teaspoon then add more if you'd like more of a kick), salt, and pepper.
Peel the skin from the flesh of the butternut squash with your hands or scoop out with a spoon. Add the squash to the soup and discard the skin.
Bring the soup to a simmer over medium heat, then reduce the heat to low, cover and simmer for 15 minutes.
Remove the soup from the heat and let it cool for a bit until it's safe to puree. Using an immersion blender, carefully puree the soup. Alternatively, you can carefully transfer the soup in small batches to a heat-resistant blender to blend.
Once pureed, return to medium heat. Stir in the coconut milk. Return to a simmer. Taste and add additional salt and pepper if desired. If you prefer a thinner soup, add the additional broth until the desired consistency is reached.
Enjoy with your favorite toppings and accompaniments.