Preheat the oven to 400°F (200°C). Toss the butternut squash, Brussels sprouts, carrots, zucchini, and red onion with olive oil, thyme, smoked paprika, salt, and pepper. Spread everything onto a parchment-lined baking sheet and roast until the vegetables begin to caramelize and become tender.
While the vegetables roast, melt the butter in a saucepan over medium heat. Whisk in the flour and cook briefly before gradually adding the milk and vegetable broth. Stir continuously until the sauce thickens, then mix in the garlic powder, nutmeg, and Parmesan cheese until smooth.
Transfer the roasted vegetables to a lightly greased baking dish. Pour the warm cream sauce over the vegetables and gently stir to coat everything evenly. Sprinkle the mozzarella cheese across the top.
Combine the panko breadcrumbs with the melted butter and scatter them evenly over the cheese layer. This creates a crisp golden topping while the casserole bakes.
Bake until the casserole is bubbling around the edges and the topping is crisp and golden brown. Let it rest for several minutes before sprinkling with fresh parsley and serving warm.
