Preheat oven to 400°F. Cut end and green stems off of the fennel and chop bulb into quarters. Massage 1.5 tsp coconut oil on each wedge and sprinkle with salt and pepper. Gently arrange sage leave within layers of fennel quarters and drizzle balsamic vinegar on fennel placed in a nonstick pan. Cover with tin foil and roast for 30 minutes, flipping half way through. Uncover and roast for additional 10 mins until soft and caramelized. Remove from the oven, garnish with nutmeg and lemon zest.