Heat the oven to 375°F and arrange a rack in the middle. Rub the cut halves of the pumpkin with the oil and season generously with salt and pepper. Place on a baking sheet cut-side up and roast until fragrant, tender when pierced with a fork, and golden brown, about 70 minutes. Remove from the oven and let sit on the baking sheet until cool enough to handle, about 20 minutes.
Using a large spoon, scoop out the flesh, place it in a medium bowl (you should have about 3 cups), and set it aside.
Place the bacon in a large, heavy-bottomed saucepan or Dutch oven over medium heat and cook until crispy and the fat is rendered, about 10 minutes. Remove with a slotted spoon to a small paper-towel-lined plate and set aside.
Add the shallots to the bacon fat, season with salt and pepper, and sauté until softened, about 4 minutes. Add the sherry and cook until reduced by half, about 2 minutes. Add the stock or broth, water, thyme, and reserved pumpkin and season with salt and pepper. Stir to combine, then bring to a simmer. Reduce the heat to low and simmer until the flavors have melded, about 10 minutes.
Using a blender, purée the soup in batches until smooth, removing the small cap from the blender lid (the pour lid) and covering the space with a kitchen towel (this allows steam from the hot soup to escape and prevents the blender lid from popping off). Place the blended soup in a clean saucepan. Stir in the cream and season with salt and pepper as needed. Serve garnished with the reserved bacon and the croutons, if using.