Place sweet potato, red potatoes, parsnips, and carrots in a roasting pan. Toss with olive oil; season with sea salt and black pepper.
Roast sweet potato mixture in the preheated oven until vegetables are slightly softened, 20 to 30 minutes.
Heat 1 tablespoon butter in a pot over medium heat; cook and stir onion until slightly softened, 3 to 5 minutes. Add sweet potato mixture and 2 more tablespoons butter; season with salt and black pepper. Cook and stir until butter is melted, 2 to 3 minutes.
Heat vegetable broth and milk together in a separate saucepan over medium heat until mixture is almost at a boil.
Stir flour and curry powder into sweet potato mixture until evenly coated. Gradually pour broth mixture into sweet potato mixture; stir until liquid is thickened, about 3 minutes. Divide mixture among four pot pie dishes. Top each with a puff pastry square.
Bake in the preheated oven until pastry is golden brown and puffed, 17 to 20 minutes.