Preheat the oven to 400 degrees F.
Place the corn, tomatoes, sliced red pepper and 2 cloves of the garlic on a baking sheet. Drizzle with 2 tablespoons of the olive oil and sprinkle lightly with a pinch of salt and pepper. Toss with your hands and arrange in an even layer. Bake for 20-25 minutes.
While the vegetables are roasting, heat a large stock pot to medium heat.
Add 1 tablespoon of the olive oil and the onion. Saute about 5 minutes, then add the remaining clove of garlic and saute 2 minutes longer.
Add the smoked paprika and chili powder and stir well.
When the vegetables are finished roasting, add them to the pot by pouring the entire contents of the baking sheet into the stockpot.
Add the vegetable broth and bring to a boil. Reduce to a low simmer, cover and let simmer for 20 minutes.
Use an immersion blender, or transfer soup to stand blender and puree until smooth.
Add the heavy cream and stir.
Heat for 10 additional minutes.
Taste and add salt and pepper if needed.
Divide into bowls and garnish with sliced avocado and shredded cheese.