Cook for 6-8 hours on low, or 3-4 hours on high, or until the squash is completely tender and mashes easily with a fork. Remove and discard the sage. Stir in the coconut milk.
Use an immersion blender to puree the soup until smooth. (Or you can transfer the soup in two batches into a traditional blender, and puree until smooth, being very careful when working with the hot liquid.) Taste, and season with additional salt, pepper and cayenne if needed.