Heat a large pot over medium heat and add the olive oil. Once shimmering, add the chopped onion and sauté until it becomes translucent and fragrant, about 5 minutes.
Add the minced garlic and smoked paprika to the pot. Stir constantly for about 30 seconds until the garlic is fragrant and the paprika is toasted slightly, releasing its smoky aroma.
Pour in the vegetable broth and bring to a gentle simmer. Add the pumpkin chunks and rinsed lentils, stirring to combine everything evenly.
Cover the pot partially and let the stew simmer over low-medium heat for about 25-30 minutes, or until the pumpkin is tender and the lentils are soft, stirring occasionally.
Uncover and stir in the coconut milk if using, to add richness and creaminess to the stew. Continue simmering uncovered for 5-10 minutes to let the flavors meld and the stew thicken slightly.
Season the stew generously with salt and pepper, tasting and adjusting as needed for balance and depth. Remove from heat once the desired consistency is reached and flavors are well developed.
Serve the stew hot, with a dollop of yogurt or fresh herbs if desired. Enjoy the comforting, smoky flavors with each hearty bite.