Preheat oven to 375°F.
Halve the squash and place pieces cut side down on an oiled baking sheet. Bake until the squash can easily be skewered, 45 to 60 minutes. Cool for 20 minutes. Remove the seeds and discard. Scrape pulp and reserve. Discard peel.
In a soup pot over medium heat, melt 1 tablespoon butter. Add bacon and onion and cook, stirring occasionally, until onion is soft, about 10 minutes. Add squash and broth and simmer until squash falls apart, about 30 minutes. Cool for 20 minutes.
In a blender, purée soup in batches until very smooth, 2 to 3 minutes per batch. Strain into a clean soup pot and add orange juice and nutmeg. Season with salt and pepper. If soup is too thick, thin with additional water or stock.
Make compound butter by mashing together the remaining 1 tablespoon of butter, pecans, and honey. Season with salt and pepper. Roll butter in plastic wrap into a cylindrical shape, 1 inch in diameter. Store in the refrigerator.
To serve, ladle soup into soup bowls. Cut 1/4-inch slices of pecan butter and float one in center of each bowl of soup. Garnish with parsley.
Nutrients per serving calories 194, protein 7g, carbohydrates 31g, fiber 7g, fat 7g (saturated fat 3g), cholesterol 10mg, sodium 714mg.