Heat the olive oil in a large pot over medium-low heat. Add the ancho and cook, turning, until toasted, about 1 minute. Add the shallots and cook, stirring occasionally, until softened, about 3 minutes. Add the squash, cumin and 1 teaspoon salt, stirring to coat. Add 6 cups water and bring to a boil; reduce the heat to medium low and simmer until the squash is tender, 25 to 30 minutes.
Working in batches, transfer the soup to a blender and puree until smooth (or puree in the pot with an immersion blender). Return the soup to the pot; stir in the agave and lime juice. Season with salt and thin with water as needed. Top each serving with pepitas and sprinkle with cayenne.
You this soup up to 2 weeks ahead and freeze in an airtight container.