Heat oven to 350°F. Coat shallow 2-quart baking dish with nonstick cooking spray.
Steam fresh squash 15 minutes or until tender. Puree cooked squash in food processor along with sugar. Scrape into fine-mesh strainer; drain 15 minutes; press down occasionally. Transfer to bowl.
Melt butter in saucepan. Stir in flour until smooth; cook, stirring, 1 minute. Whisk in milk until smooth. Add bay leaf, salt, pepper, sugar, cinnamon and nutmeg; cook, stirring, over low heat 10 minutes. Let cool. Remove bay leaf. Whisk eggs into squash. Whisk in cooled white sauce. Transfer squash mixture to baking dish; smooth top. (Can be made ahead to this point; refrigerate.)
Bake in lower third of 350°F oven for 35 minutes (or longer if refrigerated) or until set in center.
Heat butter in small nonstick saucepan over low heat. Stir in sugar; cook 5 minutes. Stir in walnuts. Sprinkle over baking dish for last 10 minutes of cooking.