Remove top of kabocha by cutting a circle 6 inches in diameter around stem with a small sharp knife. Scrape out and discard seeds and any loose fibers from inside kabocha with a spoon (including top of kabocha; do not discard the top). Rub outside of kabocha with 1 Tablespoon macadamia nut oil, then sprinkle flesh inside with salt and pepper. Fill kabocha halfway with vegetable stock and cover with top. Roast 1 hour.
Toss fennel, celery, carrots, bell pepper, and onion with 2 Tablespoons oil and season with salt and pepper. Roast alongside kabocha.
While vegetables roast, cut corn kernels from cob. Heat oil on medium heat. Sautee shallots until softened, and add mushrooms and corn. Sautee for 5 minutes. Remove from heat and add thyme and vegetables when finished roasting.
After kabocha has roasted 1 hour, spoon vegetable filling into it, then cover with the top. Roast until kabocha is tender when pierced with a fork, about 30 minutes more.
Line a platter with fennel fronds and transfer kabocha to platter.
