In a large saucepan, melt the butter over medium heat. Add the leek and bay leaf; season with salt and pepper. Cook, stirring, until the leek is softened, 7 to 9 minutes. Stir in the squash and potato; cook until softened, about 5 minutes.
Stir in the flour, then the chicken broth. Bring the mixture to a boil over medium-high heat, then lower the heat to medium-low and simmer until the vegetables are tender and the liquid is thickened, 10 to 12 minutes. Stir in the cream and horseradish.