Preheat the oven to 375°. In a large saucepan, combine the cubed squash with the chopped onion, bay leaf and 3 cups of water and bring to a boil over high heat. Cover and simmer over low heat until the squash is tender, about 20 minutes.
Meanwhile, on a large rimmed baking sheet, toss the fennel wedges with the 1 tablespoon of olive oil. Season with salt and pepper and toss well. Roast for about 25 minutes, until the fennel is tender and starting to brown.
Discard the bay leaf from the soup. Working in batches, puree the soup in a blender. Return the soup to the saucepan and warm over low heat. Stir in the butter and season the soup with salt and pepper. Ladle the soup into bowls and garnish with the roasted fennel, pecans, marjoram leaves and a drizzle of olive oil.
The soup can be refrigerated overnight. Reheat gently.