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Roasting is dry, high-heat cooking. In this case, it looks like the idea is to concentrate the flavor of the squash by removing excess water and developing Maillard reactions to add additional complex flavors. You can do that by sauteeing in a little fat. Start with medium heat to cook down the squash, then high heat to develop flavor. Don't cover the pan, or else the evaporated water will drop back into the pan and steam the squash (which is a perfectly fine technique but will not give the desired results here).