Pre-heat the oven to 450ºF.
Heat a cast iron skillet over medium-high heat with 2 tablespoons EVOO, two turns of the pan. Add the onions and brown on both sides.
Meanwhile, pat the chicken dry and loosen the skin from the meat with your fingers. Combine 4 tablespoons softened butter with the rosemary, anchovy paste and garlic and place the butter under the skin. Drizzle the skin with EVOO and season with a little salt and lots of pepper.
Add the bay leaves and wine to the onions, arrange the chicken on top and transfer to the oven. Roast for 20 minutes, then turn the oven down to 375°F for 10-15 minutes to finish roasting the chicken until the juices run clear.
Cover the butternut squash and potatoes with water; bring to a boil, salt the water and boil to tender, 15 minutes. Drain and return to the hot pot. Mash with salt, pepper, nutmeg, the milk or stock, cheese and the zest.
Serve the chicken and onions with the mashed squash and potatoes alongside and plenty of bread for mopping.