Wash squash, and cut into quarters. Remove seeds, and sprinkle squash with salt and pepper. Place on a bed of parsley in a deep roasting pan. Add bay leaves to pan, and pour wine evenly over squash. Cover pan with foil, sealing tightly, and bake at 375° for 45 minutes or until squash is tender.
Remove from oven, uncover, and let stand until squash is cool enough to handle.
Scoop flesh from squash and place in a saucepan. Strain cooking liquid from roasting pan into saucepan, discarding herbs. Whisk in cream.
Slice vanilla bean in half lengthwise, and scrape tiny seeds with a knife. Place seeds and bean into squash mixture.
Bring mixture to a boil, reduce heat, and simmer 10 minutes or until mixture reduces and thickens slightly. Remove vanilla bean, and blend mixture in the pan with an immersion blender until smooth and creamy. (Mixture may also be transferred to a blender. Always use caution when pouring or blending hot liquids.) Season to taste with salt and pepper.
Note: Freeze leftover puree, and reheat slowly. Add broth or water to thin, if necessary, and serve over your favorite cooked fish. Or thin with broth for delicious cream of squash soup.
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