Preheat the oven to 425 degrees F (220 degrees C). Grease a rimmed baking sheet with olive oil.

Distribute butternut squash wedges like shingles onto the prepared baking sheet.

Combine cream, creme fraiche, garlic, and bay leaf in a small saucepan over medium heat, bring to a boil, and simmer for 5 minutes. Season with salt, pepper, sugar, and nutmeg. Pour cream mixture over pumpkin on the baking sheet and sprinkle with parsley. Evenly sprinkle feta cheese on top.

Bake in the preheated oven until gratin is browned on top and squash is cooked through, 20 to 25 minutes.