Bring a large pot of water to a boil for the pasta. In a large skillet, heat the EVOO, one turn of the pan, over medium-low. Add the butter to the skillet. When the foam begins to subside, add the shallots, garlic and sage and stir until soft, 1 to 2 minutes. Add the Champagne and simmer until reduced by half, about 4 minutes. Stir in the cream and let the sauce bubble until thickened, 6 to 8 minutes. Add the Gorgonzola and Parmigiano-Reggiano and stir until melted. Remove from the heat.
Meanwhile, salt the boiling water, add the pasta, and cook until al dente. Drain; add the pasta to the sauce. Toss with tongs until coated evenly. Season with pepper. Serve in shallow bowls topped with parsley and more cheese.