Combine onion, butter, flour, brown sugar, tomato paste, salt, pepper, and cayenne in a microwave‑safe bowl; microwave 5 min until onion softens.
Transfer to slow cooker; add diced tomatoes, broth, and bay leaves.
Cook on low for 4–6 hr or high for 3–5 hr.
Discard bay leaves; blend until smooth, then stir in cream and sherry; thin with broth if needed.
Season to taste and serve warm.