Preheat oven to 400° F.
On a rimmed baking sheet, toss chopped squash, pear, and sliced garlic with olive oil and salt. Bake until the squash is barely tender, about 10 to 15 minutes.
In the meantime, melt the butter in a large sauce pan over medium-low heat. Add the flour and whisk constantly for 2 minutes.
Add the broth and whisk until smooth, scraping down the sides with a spatula if needed. Increase heat to medium and whisk in the milk.
Stir in leek, thyme sprigs, bay leaf, and paprika. Bring the mixture to a simmer over medium heat, whisking occasionally. Once the mixture begins to bubble, whisk constantly until it thickens, about 3 to 5 minutes more. Whisk in sherry and lemon juice. Set aside.
Remove thyme sprigs and bay leaf from the sauce and mix roasted vegetables. Season to taste with freshly grated nutmeg, salt, and white pepper. If preparing ahead, allow the filling to cool to room temperature and refrigerate until ready to use.