Preheat oven to 425°.
Trim tough outer leaves from fennel. Cut fennel bulb in half lengthwise; discard core. Cut each half into three wedges. Combine fennel, squash, and next 7 ingredients (through nutmeg) in a large shallow roasting pan coated with cooking spray. Bake at 425° for 35 minutes or until vegetables are tender, stirring occasionally. Sprinkle vegetable mixture with cheese, if desired.