Preheat the oven to 375˚F (190˚C). Adjust the oven rack to one level below the middle. Line a rimmed baking sheet with aluminum foil. Set aside.
Using a sharp chef’s knife, cut the squash in half. First by inserting the tip of the knife right next to the stem. With one hand holding the other side of the squash and another hand pressing down the knife. Cut until the knife reaches the bottom of the squash. Once you got that part split, rotate the pumpkin and continue cutting until it splits in two. Next, scoop out the seeds with a spoon. Discard the seeds or save for other uses.
Rub the squash (with skin on) with 1½ tablespoons olive oil, salt and pepper on all sides. Transfer the squash cut-side-down on the prepared baking sheet. Place 4 thyme stems over the squash and roast in the oven until tender, about 1 hour, flipping over halfway through. Remove from oven and set aside to cool slightly, about 15 minutes.
Once the squash is out of the oven, start on the soup. In a medium dutch oven over medium heat, warm ½ tablespoon olive oil. Add pancetta and sauté until golden brown. Transfer the pancetta to a plate lined with paper towels. Set aside.
In the same dutch oven, remove most of the grease with a paper towel except for about 1 tablespoon. Add the onion and sauté until softened, about 4 minutes. Stir in the garlic and cook for 1 more minute. Add the broth, water and bay leaf. Bring to a simmer.
Scoop out the flesh from the kabocha squash (that's ok if there is some thyme leaves) and add to the soup. Discard the squash skin and thyme stems. Simmer the soup for 15 minutes. Remove the bay leaf and discard.
Remove the dutch oven from heat. Using a hand blender, blend until smooth. If using a regular blender, be extra careful, because blending hot liquid can be dangerous. Do it in batches. Before blending, remove the center piece on the blender lid. Cover with a kitchen towel. So steam can flow through the lid and no explosion.
Transfer everything back to the dutch oven. Season the soup with salt, pepper and sugar if needed. Add ½ cup of heavy cream and stir to mix. No need to cook again. Transfer the soup to serving bowls. Drizzle with extra cream and top with crispy pancetta and little bit of thyme leaves. Serve immediately.