Place squash chunks in a large microwavable safe bowl and cover with plastic wrap. Microwave 14 to 18 minutes, stirring halfway through, until a paring knife glides easily through flesh. Transfer squash to a colander set in a large bowl; let drain for 5 minutes; reserve liquid.

In a Dutch oven over medium-high heat melt the butter. Add squash, leek, and 1 teaspoon salt; cook, stirring occasionally, until brown fond forms in bottom of pot and squash pieces begin to break down, 10 to 13 minutes.

Add 2 cups vegetable broth and scrape bottom of the pot to loosen and dissolve fond. Add remaining 2 cups broth, reserved squash liquid, 1 cup water, thyme sprigs, bay leaf, and cayenne. Increase heat to high and bring to a simmer. Reduce heat to medium and simmer until leeks are tender, 6 to 7 minutes.

Remove the pot from heat and remove and discard bay leaf and thyme sprigs. Working in batches, and filling the blender no more than ⅔ full, process soup until smooth, 1 to 2 minutes. Alternatively, use an immersion blender to puree the soup right in the pot. Return soup to clean pot and bring to simmer, thinning with up to 1 cup water to desired consistency. Season with salt and pepper to taste; serve with toasted hazelnuts and a dollop of sour cream.