Preheat oven to 350ºF and spray a square baking dish with an oil mister or cooking spray.
Heat 3 tablespoons of oil in a large skillet over medium heat. Add the shallots and cook, stirring often, until just beginning to brown, about 7 minutes. Sprinkle the flour into the skillet and give it a good stir. Cook, continuing to stir often, until golden brown, about 3 minutes. Grab a whisk and slowly pour the milk into the skillet, whisking it into the flour mixture. Once the milk is incorporated and the sauce is smooth, add the pumpkin to the skillet and whisk that in. Let the sauce cook on medium heat until it's thickened, about 7 minutes, continuing to whisk often.
Remove the sauce from the heat and stir in the parmesan cheese, ¼ cup of the sage leaves and a pinch of nutmeg. Season to taste with salt and pepper, then fold in the penne. Transfer to the prepared baking dish and top with the shredded cheese. Cover the baking dish with foil and place it in the oven. Bake for 10 minutes covered, then uncover and cook for 10 minutes more. If you want a browned top, broil for about 5 minutes or until the cheese is golden brown.
While the casserole is baking, make the crispy sage topping. Heat the remaining 2 teaspoons of olive oil in a small skillet over medium heat. Add the remaining sage to the skillet and cook, stirring often, until crispy, about 3 minutes. Keep a close eye on the sage because it will go from crispy to burnt really quickly! When the sage is done, transfer it to a paper towel to soak up some of the excess oil. Sprinkle the crispy sage onto the baked ziti before serving.