Preheat oven to 425°F.
Make a series of 1/8-inch slices along each potato, slicing ⅔ of the way through. If you like, place chopsticks or wooden spoons on long sides of sweet potato before slicing. This can be helpful so you don’t cut all the way through.
Place potatoes on a baking sheet and, using a silicone pastry brush, brush the outside of the each potato and in between the hasselback slits with about 3 tablespoons oil. Roast until center of potatoes are tender and the outside is crisp, 50 minutes to 1 hour. Halfway through roasting time, remove potatoes from oven and run a fork or spoon gently across the tops of the potatoes, using light pressure to fan the slices and separate from one another.
While potatoes roast, prepare sauce. Boil apple juice until reduced by half.
Meanwhile, in a wide fry pan, over medium high heat, sauté onions, apples, and sage in 2 teaspoons oil until starting to brown. Add reduced apple juice and bring to a boil. Take pan off heat, add the lemon and then slowly stir in butter until melted and emulsified. Season with salt and pepper. Pour sauce over baked sweet potatoes.