Toss the cauliflower florets in the oil along with the salt and pepper, arrange them in a single layer on a large baking sheet and roast in a preheated 400F oven until lightly golden brown, about 20-30 minutes.
Heat the oil in a large sauce pan over medium heat, add the onion and saute until tender, about 5-7 minutes.
Add the garlic and thyme and saute until fragrant, about a minute.
Add the broth, deglaze the pan, add the cauliflower, bring to a boil, reduce the heat and simmer, covered, for 20 minutes.Puree the soup until it reaches your desired consistency with a stick blender.
Mix in the cheese, let it melt without bringing it to boil again.
Mix in the milk, season with salt and pepper and remove from heat.