Melt butter in large heavy-bottomed soup pot set over medium heat. Add onion, carrot, celery, and salt. Sweat until the vegetables begin to soften, stirring occasionally, 5 to 10 minutes. Sift the flour over the vegetables and cook, stirring constantly, for 2 to 3 minutes.
Gradually add the chicken stock and bring to boil, stirring constantly. Reduce heat to low and add the garlic and bay leaf. Cover and simmer until vegetables are soft, approximately 30 minutes.
Remove bay leaf. Turn off heat, add the heavy cream, and then puree with an immersion blender or in a conventional blender*. Gradually add the cheese, 1 small handful at a time, and stir until melted before adding next handful. Stir in the Marsala, Worcestershire sauce, hot sauce, and white pepper. Taste and add additional salt, if desired. If soup is not hot enough, return to low heat until warmed through.
*When blending hot liquids: Remove liquid from the heat and allow to cool for at least 5 minutes. Transfer liquid to a blender or food processor and fill it no more than halfway. If using a blender, release one corner of the lid. This prevents the vacuum effect that creates heat explosions. Place a towel over the top of the machine, pulse a few times then process on high speed until smooth.