Preheat the oven to 450 degrees F. Brush 2 rimmed baking sheets with olive oil. Put the eggplants, flesh-side down, on one of the baking sheets, drizzle with 1 tablespoon olive oil and season with salt. Toss the tomatoes, onion and garlic with the remaining 1 tablespoon olive oil on the other baking sheet (don't crowd the pans or the vegetables will steam). Season with salt and pepper. Roast the vegetables until tender and browned in spots, about 45 minutes, rotating the baking sheets halfway through.
Scoop the eggplant flesh from the skin into a saucepan, discarding any excess seeds. Add the remaining roasted vegetables, the chicken stock, thyme and cilantro and bring to a boil over medium-high heat. Reduce the heat to low and simmer about 20 minutes. Cool slightly.
Puree the soup in a blender (in batches if necessary) until smooth. Return the soup to the saucepan and thin with more stock, if needed. Season with salt, pepper and chile powder. Ladle into bowls and garnish with fennel fronds; slide the cotton candy into the soup to serve.