In a 12- by 15-inch baking pan, mix squash with olive oil; sprinkle with 1/4 teaspoon salt and 1/8 teaspoon pepper and mix to coat. Bake in a 400° regular or convection oven, stirring occasionally, until squash is tender when pierced, 15 to 20 minutes.
Meanwhile, in a 5- to 6-quart pan over medium heat, melt butter. Add onion and stir occasionally until very limp, 8 to 10 minutes. Add broth and wine, increase heat, and bring to a simmer. Add shrimp and simmer, uncovered, just until pink on the outside and opaque but still moist-looking in center of thickest part (cut to test), about 2 minutes. With a strainer or a slotted spoon, transfer shrimp to a bowl.
Rinse lemon grass; cut off and discard tough tops and root end. Remove and discard tough outer layers. With the flat side of a knife or a mallet, crush tender inner stalk. Add to pan along with cumin, turmeric, and split peas. Bring to a boil over high heat, then cover, reduce heat, and simmer, stirring occasionally, until peas are very tender and almost completely broken down, about 50 minutes.
Stir in all but about 1/4 cup roasted squash. In a blender or food processor, working in batches if necessary, whirl soup until smooth. Return to pan over low heat and stir in cream and salt and pepper to taste. Heat until steaming (see notes).
Ladle soup into bowls and top equally with shrimp and reserved roasted squash.