Melt butter in a large skillet over medium heat. Add onion, shallot, and a pinch of salt; saute until translucent, 3 to 5 minutes. Add lamb and brown for 5 minutes. Stir in garlic and cook until fragrant, about 1 minute. Transfer to a slow cooker.
Add butternut squash, mushrooms, sweet potato, carrots, and celery; mix ingredients. Add bone broth and Marsala wine; it won't look like enough liquid but don't worry. Place rosemary and thyme on top.
Cover and cook on High for 4 hours. Lift fresh herbs and stir the stew. Replace herbs, cover, and cook on Low until vegetables and lamb are tender, about 2 more hours.