Carefully peel back husks from corn to within 1-in. of bottom; remove silk. Rewrap corn in husks. Place on a baking sheet. Bake at 375° for 30-35 minutes or until tender.
Meanwhile, tap clams; discard any that do not close. Place in a large saucepan; cover with water. Bring to a boil. Reduce heat; cover and simmer for 5-6 minutes or until clams open. Drain. Remove meat from clams; chop and set aside.
In a Dutch oven, cook bacon over medium heat until crisp. Add the butter, onion, celery and shallot; cook until vegetables are tender. Add garlic; cook 1 minute longer. Stir in flour until blended; cook and stir for 10 minutes or until browned (do not burn). Gradually add water and clam juice. Bring to a boil; cook and stir for 2 minutes or until thickened.
Cut corn from cobs. Stir the corn, potatoes, clam stock, parsley, bay leaf, salt, pepper and thyme into soup. Bring to a boil. Reduce heat; simmer, uncovered, for 30 minutes.
Add the scallops, shrimp and clams; cook 3-4 minutes longer or until shrimp turn pink and scallops are opaque. Stir in cream; heat through. Discard bay leaf.