Preheat the oven to 400ºF and adjust the rack to the middle position. Place the squash on a baking sheet lined with unbleached parchment paper. Pour the ghee overtop and gently toss to coat the squash. Roast for 30 minutes, or until soft when pierced with a knife.
Meanwhile, melt the butter in a large pot over low heat. Add the carrots and leeks and stir to combine. Put the lid on the pot and let the vegetables sweat for 30 minutes. After 30 minutes, remove the lid and stir in the thyme and sea salt.
Add the chicken broth and roasted squash to the carrot mixture and bring to a simmer. Then, using an immersion blender, blend the soup until smooth. Or, you can also process the soup in a blender until smooth. Stir in the coconut milk. Season to taste with sea salt. Serve.
Note: I like butternut squash soup on the creamier side, but if you like it a bit thinner, than just add 1/2 cup or so of water.