Place the onion, chopped butternut squash and sweet potato onto a baking sheet. Drizzle with oil and sprinkle with the cinnamon and nutmeg. Roast in the oven for 45 minutes to an hour, or until tender.
Allow the vegetables to cool slightly, then place half into a food processor and add 500ml/17fl oz of the vegetable stock. Blend to a purée and transfer to a large pan. Repeat with the remaining roasted vegetables and 500ml/17fl oz more of the stock - transfer the purée to the pan.
Add the remaining 500ml/17fl oz of vegetable stock to the food processor and stir to catch any remnants of the vegetable purée, then pour into the pan.
Add the marsala wine and season, to taste, with salt and freshly ground black pepper. Add a little more water if the soup is too thick for your liking.
For the buttermilk cheese sauce, place the blue cheese and buttermilk into a clean food processor and blend to a paste. Transfer the blue cheese sauce to a jug or bowl.
To serve, ladle the soup into bowls and drizzle some of the blue cheese into each bowl. Leave the sauce on the table for your guests to add more if they wish.