Peel, halve, and seed the butternut squash; cut into roughly 1-inch cubes.
Cook onion in olive oil in a large, heavy saucepan that can accommodate the pasta later. When the onion starts to become golden, add the paprika.
Stir butter and squash into onion mixture in pan. Add Marsala and water. Bring to a simmer. Cover and reduce heat. Simmer about 10 minutes or until squash is tender but still holds its shape.
Meanwhile, bring a large saucepan of water to boiling; add hefty pinch of salt. Cook pasta according to package directions. Toast pine nuts in a hot, dry frying pan on the stove top until dark gold. Pour them into a bowl or onto a plate to cool.
Lightly season squash mixture to taste with salt (the blue cheese will add additional saltiness). Remove from heat.
Finely chop sage; sprinkle over the squash, reserving some for serving.
Remove about 1/2 cup of the pasta cooking water with a ladle or mug; drain pasta. Add drained pasta to the squash mixture. Gently stir to combine. If sauce is too dry or mixture won't come together, add some of the reserved cooking water; the starch in it encourages the sauce to emulsify and cling to the pasta. Stir in most of the pine nuts and blue cheese. Transfer to a large serving bowl. Sprinkle with remaining sage, pine nuts, and cheese. Makes 6 (1-1/2 cup) servings plus leftovers.