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Preheat the oven to 450°F.
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Toss the butternut squash slices with olive oil, salt and freshly ground black pepper. Place the squash on a rimmed baking sheet and roast for 15 minutes. Flip the squash slices over and add the zucchini and yellow squash slices to the sheet pan. Drizzle a little olive oil on the squash and roast for another 15 minutes. Remove the squash from the oven and reduce the oven temperature to 375ºF.
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Make the Béchamel sauce: Melt the butter in a medium saucepan. Add the flour and whisk for 30 seconds. Slowly pour in the milk, whisking until smooth, and simmer for 5 minutes until the sauce thickens. Add ½ cup of the Parmesan cheese and a pinch of nutmeg. Season to taste with salt and fresh ground black pepper.
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Combine the ricotta cheese, eggs, 1½ cups of the mozzarella cheese, ¼ cup of the Parmesan cheese, dried sage, parsley, salt and freshly ground black pepper.
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Cover the bottom of a 13-inch x 9-inch baking dish with a layer of the Béchamel sauce. Lay the lasagna noodles flat on a cutting board. Divide the ricotta mixture between the noodles and spread it all along each noodle. Place a layer of the assorted squash on top and roll up each lasagna noodle, placing it in the baking dish when rolled. Spoon the Béchamel sauce over the rolled up noodles and sprinkle the remaining mozzarella and Parmesan cheese on top.
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Bake at 375° F for 30 minutes. Garnish by placing a small fresh sage leaf on each lasagna roll and serve.