Heat oil in a large soup pot over medium-high heat. Add mushrooms and sauté until golden, about 10 minutes. Season with salt and pepper and remove 1 cup of the mushrooms, reserving them to the side.
Melt butter in the same pot over medium-high heat. Add onion and garlic to the pot and sauté until fragrant, 3 minutes. Squeeze the roasted garlic out of the papery garlic husk and mix to combine. Add flour and cook for 1 minute, stirring constantly, or until a form a thick paste and coat the mushrooms and the bottom of the pot.
Add vegetable stock, milk, thyme and the reserved marrow (jellied part) and bones and bring to a simmer. Mix well to dissolve any flour lump it may be formed. Cook until mushrooms are tender, about 8-10 minutes. Remove the bones and discard.
Puree soup until smooth using a high-powered blender or food processor and blend until completely smooth.
Return soup to pot and stir in cream, reserved mushrooms, and Worcestershire sauce into the soup. Taste and adjust season, adding more salt and pepper, if necessary.
Garnish with chopped fresh parsley and freshly cracked black pepper, if desired. Served hot.