Melt the butter in a medium sauce-pan. Add the shallots and leek and cook over moderate heat, stirring occasionally, until softened, 3 to 4 minutes. Stir in the curry powder and cook until fragrant, about 1 minute. Add the butternut squash and stock, cover and simmer until the squash is very tender, 20 to 25 minutes. Remove from the heat and let the soup cool to room temperature. Working in batches, puree the soup in a blender until smooth. Return the soup to the saucepan.
In another medium saucepan, combine the mussels with the white wine, water and thyme and season generously with pepper. Cover and bring to a boil over high heat. Steam the mussels for 3 to 5 minutes, shaking the pan occasionally; transfer the mussels to a bowl as they open. Remove the mussels from the shells and reserve 12 shells for garnish.
Carefully pour the mussel-cooking liquid into the soup, leaving behind any sand or grit. Reheat the soup and season with salt. Place 12 of the mussels in the reserved shells. Add the rest of the mussels to the soup to warm them. Ladle the soup into bowls, garnish with cilantro and the mussels in the shells and serve.