Preheat an oven to 375°F. Halve the squashes and place cut side down on a oiled baking sheet. Bake until the squash can be easily skewered, 45 minutes. Cool 20 minutes. With a spoon, remove seeds and discard. Scrape the pulp and reserve. Discard peel.
In a soup pot, over medium heat, melt the butter. Add the bacon and onions and cook, stirring occasionally until the onions are soft, 10 minutes. Add squash and stock and simmer until the squash falls apart, 30 minutes. Cool 20 minutes. Puree in the blender in batches, until very smooth, each batch for 2 to 3 minutes. Strain into clean soup pot and add the cream, nutmeg, orange juice, salt and pepper.
For garnish: Toss walnuts with walnut oil, salt, pepper and sugar and place on a baking sheet. Bake until lightly golden, 5 to 7 minutes. Cool completely. Chop the walnuts very fine. In a small bowl, mash walnuts with the honey and butter. Season with salt and pepper. Roll the butter in plastic wrap into a cylindrical shape 1" diameter. Store in refrigerator.
Ladle the hot soup into soup bowls. Cut 1/4" slices of the walnut butter and float one in the center of each soup. Garnish with parsley leaves.