MAKE FRIED SAGE LEAVES AHEAD:
Heat oil in a 2 quart saucepan to 330ºF or until very hot, but not smoking. Drop in half of sage leaves and turn with slotted spoon. Fry for only 10 to 15 seconds, do not let the leaves brown. Drain on paper towels. Fry remaining leaves. Sage can be fried a day ahead and stored in an airtight container at room temperature.
Combine lemon zest, lemon juice, chopped sage, salt, and pepper in a small mixing bowl, whisk in the oil. Set aside.
Preheat oven to 450ºF.
Trim asparagus bottoms off. If spears are thick, peel lower 2/3 of trimmed spears with vegetable peeler. Thin spears need not be peeled.
Toss asparagus with olive oil, chopped sage, and salt.
Spread on a baking sheet and roast at 450º until they are slightly limp-about 4 to 8 minutes. Remove from oven.º
Toss asparagus with dressing. Arrange on serving platter; sprinkle with Parmesan curls and fried sage leaves.