Spread bread crumbs in a shallow roasting pan. Bake at 300° for 15 minutes, stirring occasionally. Remove and set aside.
Cut a thin slice from bottom of pumpkin so that it will sit flat. Cut a 4-inch diameter crown or lid in top of pumpkin; remove and set lid aside. Remove and discard seeds and strings from pumpkin; set pumpkin aside.
Sauté onion in butter in a large skillet until tender. Add bread crumbs; cook 2 minutes, stirring constantly. Stir in sage, salt, pepper, and nutmeg. Remove from heat; stir in cheese Spoon into pumpkin. Pour in enough chicken broth to fill within 1 inch of top of pump kin. Top with bay leaf. Replace pumpkin lid.
Place pumpkin in an 8-inch square baking pan. Place on bottom rack of oven. Bake at 400° for 1 1/2 hours. Remove and discard bay leaf. Gradually stir whipping cream into soup; garnish with parsley, if desired.
Ladle soup from pumpkin into individual bowls; serve immediately.