Preheat oven to 400°F (200°C). On a large baking sheet, toss the cubed butternut squash, carrots, parsnips, and Brussels sprouts with olive oil, salt, and pepper. Arrange in a single layer and roast for 20-25 minutes, until tender and lightly caramelized.

While vegetables roast, melt butter in a large skillet over medium heat. Add the sliced leeks and cook until soft, about 5-7 minutes. Stir in the minced garlic and cook for 1 more minute until fragrant.

Sprinkle the flour over the leeks and stir for 1 minute. Gradually whisk in the milk and heavy cream until the mixture is smooth. Add the thyme sprigs and bay leaf.

Bring the sauce to a simmer and cook for 3-5 minutes, stirring, until it thickens. Remove from the heat. Discard the thyme and bay leaf. Stir in the shredded Gruyère and grated Parmesan cheese until fully melted. Season with nutmeg, salt, and pepper.

In a large bowl, combine the roasted vegetables with the cheese sauce. Gently toss to coat everything evenly. Pour the mixture into a greased 9x13 inch baking dish.

Top with a sprinkle of extra Parmesan cheese. Bake for 15-20 minutes, until the casserole is hot, bubbly, and the top is golden brown. Let it rest for 5-10 minutes before serving.