1. In a Dutch oven, combine parsnips, fennel, onion, broth and salt. Bring to a boil over high heat; reduce heat and simmer covered until vegetables are very tender, about 25 minutes.
2. Purée with an immersion blender until smooth (or do in batches in a blender). Add Cheddar cheese and 4 Tbsp. sherry. Simmer, stirring constantly, until cheese is melted. Cover and keep warm.
3. In a small nonstick skillet over medium-high heat, add butter and chestnuts and cook, stirring constantly, until browned and crisp, 3-4 minutes.
4. To serve, stir together Mascarpone cheese and remaining 2 Tbsp. sherry. Swirl into each serving of soup and sprinkle with chestnuts. Decorate with thyme.