Heat the oven to 375 degrees, and line a baking sheet with parchment paper.
Layer the onions on the baking sheet.
Drizzle the onions with the oil, and season with salt and pepper to taste.
Bake for 15 minutes.
While the onions are baking, add the wine, butter, garlic powder, heavy whipping cream and cayenne pepper to a saucepan over medium heat. Simmer until the mixture begins to thicken.
Remove the onions, and raise the oven temperature to 450 degrees.
Pour the sauce mixture over the onions, and sprinkle with cheese.
Cover the baking sheet with tin foil, and bake for 20 minutes.
Uncover, and bake for another 10 minutes.