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