Brush some of the olive oil on the lined baking sheet. Place the squash halves cut side down on the sheet and roast in the oven, turning once, until tender and light brown, up to 45 minutes. Cut the roasted squash into ¾-inch pieces.
While the squash roasts, prepare the rest of the ingredients. In the large pot, heat 2 tablespoons olive oil. Add the onions, 1-⅓ cups of the corn, garlic, chili powder, annatto, cumin, and chipotle powder. Sauté until the onions are tender, about 8 minutes. Add the cooked squash and vegetable stock, then bring to a boil. Reduce heat and simmer for about 30 minutes.
Use the immersion blender to puree the soup in the pot (or blend it in batches in the regular blender, then return to the pot). Add the beans, potato, and remaining corn. Simmer until the beans and potato are cooked through, about 12 minutes. Add a little more vegetable stock if the soup is too thick. Add salt to taste. Serve hot with garnishes.