Grits and Roasted Vegetables With Hazelnut Butter

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1/2 medium butternut squash, peeled and cut into 1/2-inch pieces

4 plum tomatoes, halved lengthwise

4 cloves garlic, smashed

4 sprigs fresh thyme

6 tablespoons extra-virgin olive oil

Kosher salt

1 1/2 pounds mixed mushrooms, halved

1 cup old-fashioned grits

2 cups vegetable broth

1 1/2 cups milk

5 tablespoons unsalted butter

Pinch of cayenne pepper

1/3 cup chopped hazelnuts

1 tablespoon light brown sugar

2 tablespoons cider vinegar

1/2 cup crumbled blue cheese, such as gorgonzola