Let $E$ be a vector bundle over $M$ and denote by $\mathcal{A}^k(E)$ the space of sections of $\Lambda^k (TM)^* \otimes E$, i.e. the space $k$-forms with values in $E$.
A connection $\nabla:\mathcal{A}^0(E) \to \mathcal{A}^1(E)$ extends to a map $\nabla:\mathcal{A}^k(E) \to \mathcal{A}^{k+1}(E)$ by setting $\nabla(\alpha \otimes s)= d \alpha \otimes s + (-1)^k \alpha \wedge\nabla s$ and we can define the curvature of $\nabla$ as the composition $F_\nabla=\nabla \circ \nabla: \mathcal{A}^0(E) \to \mathcal{A}^2(E)$.
From the Leibniz rule one can see that $F_{\nabla}(fs) = f F_{\nabla}(s)$ and therefore we can view $F_\nabla$ as an element of $\mathcal{A}^2(\text{End}(E))$ ($F_\nabla$ evaluated at a pair of tangent vectors is the endomorphism $s \mapsto F_\nabla(X,Y)(s)$.
My question is whether the formula $F_{\nabla}(X,Y) = \nabla_X \nabla_Y - \nabla_Y \nabla_Y - \nabla_{[X,Y]}$ holds true.
I could prove it when $E=TM$ and $\nabla$ is a torsion free connection (because in that case we have a formula relating the exterior derivative with $\nabla$) but I don't know how to deal with the general case.
Short answer: the formula is true. Long answer: see below for the calculation.
Choose local coordinates $(x^1, \ldots, x^n)$ and a local frame field $(e_1, \ldots, e_r)$ for $E$, both of these over an open neighbourhood $U$, and let $\newcommand{\Tud}[3]{{#1}^{#2}_{\phantom{#2}{#3}}}$ $$\nabla e_\mu = \Tud{\omega}{\nu}{\mu} \otimes e_\nu$$ for some $\Tud{\omega}{\nu}{\mu} \in \Omega^1(U)$. (I am using the summation convention for repeated indices.) Let $\Tud{\Omega}{\nu}{\mu} \in \Omega^2(U)$ be such that $$\nabla \nabla e_\mu = \Tud{\Omega}{\nu}{\mu} \otimes e_\nu$$ Now, by the Leibniz rule, we have $$\nabla \nabla e_\mu = \mathrm{d}\Tud{\omega}{\nu}{\mu} \otimes e_\nu - \Tud{\omega}{\nu}{\mu} \wedge \Tud{\omega}{\rho}{\nu} \otimes e_\rho$$ thus, $$\Tud{\Omega}{\nu}{\mu} = \mathrm{d}\Tud{\omega}{\nu}{\mu} + \Tud{\omega}{\nu}{\rho} \wedge \Tud{\omega}{\rho}{\mu}$$
Since $$\nabla (W^\mu e_\mu) = \mathrm{d} W^\mu \otimes e_\mu + W^\mu \Tud{\omega}{\nu}{\mu} \otimes e_\nu$$ we have $$\nabla \nabla (W^\mu e_\mu) = \mathrm{d} W^\mu \wedge \Tud{\omega}{\nu}{\mu} \otimes e_\nu + W^\mu \, \mathrm{d} \Tud{\omega}{\nu}{\mu} \otimes e_\nu - \mathrm{d}W^\mu \wedge \Tud{\omega}{\nu}{\mu} \otimes e_\nu - W^\mu \Tud{\omega}{\nu}{\mu} \wedge \Tud{\omega}{\rho}{\nu} \otimes e_\rho$$ thus, $\nabla \nabla$ is indeed $C^\infty(U)$-linear, with $$\nabla \nabla (W^\mu e_\mu) = W^\mu \Tud{\Omega}{\nu}{\mu} \otimes e_\nu = W^\mu \nabla \nabla e_\mu$$ This means we only need to check the formula for the frame field instead of arbitrary sections of $E$.
Now, observe that, if $X$ and $Y$ are vector fields, $$\begin{align} \nabla_X \nabla_Y e_\mu = \nabla_X ( \langle \Tud{\omega}{\nu}{\mu} , Y \rangle e_\nu) & = \langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , Y \rangle, X \rangle e_\nu + \langle \Tud{\omega}{\nu}{\mu} , Y \rangle \langle \Tud{\omega}{\rho}{\nu} , X \rangle e_\rho \\ \nabla_Y \nabla_X e_\mu = \nabla_Y ( \langle \Tud{\omega}{\nu}{\mu} , Y \rangle e_\nu) & = \langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , X \rangle, Y \rangle e_\nu + \langle \Tud{\omega}{\nu}{\mu} , X \rangle \langle \Tud{\omega}{\rho}{\nu} , Y \rangle e_\rho \\ \nabla_{[X, Y]} e_\mu & = \langle \Tud{\omega}{\nu}{\mu} , [X, Y] \rangle e_\nu \end{align}$$ where I have written $\langle - , - \rangle$ for the canonical pairing of a 1-form and a vector field. So we have $$\begin{align} (\nabla_X \nabla_Y - \nabla_Y \nabla_X - \nabla_{[X, Y]}) e_\mu & = (\langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , Y \rangle, X \rangle - \langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , X \rangle, Y \rangle - \langle \Tud{\omega}{\nu}{\mu} , [X, Y] \rangle) \, e_\nu \\ & \phantom{=} + (\langle \Tud{\omega}{\nu}{\rho} , X \rangle \langle \Tud{\omega}{\rho}{\mu} , Y \rangle - \langle \Tud{\omega}{\nu}{\rho} , Y \rangle \langle \Tud{\omega}{\rho}{\mu} , X \rangle) \, e_\nu \end{align}$$ while on the other hand $$\Tud{\Omega}{\nu}{\mu} (X, Y) = \langle \Tud{\Omega}{\nu}{\mu} , X \wedge Y \rangle = \langle \mathrm{d}\Tud{\omega}{\nu}{\mu} , X \wedge Y \rangle + \langle \Tud{\omega}{\nu}{\rho} \wedge \Tud{\omega}{\rho}{\mu} , X \wedge Y \rangle$$ but by Cartan's formula for the exterior derivative $$\langle \mathrm{d}\Tud{\omega}{\nu}{\mu} , X \wedge Y \rangle = \langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , Y \rangle , X \rangle - \langle \mathrm{d} \langle \Tud{\omega}{\nu}{\mu} , X \rangle , Y \rangle - \langle \Tud{\omega}{\nu}{\mu} , [X, Y] \rangle$$ Now, by definition $$\langle \Tud{\omega}{\nu}{\rho} \wedge \Tud{\omega}{\rho}{\mu} , X \wedge Y \rangle = \langle \Tud{\omega}{\nu}{\rho} , X \rangle \langle \Tud{\omega}{\rho}{\mu}, Y \rangle - \langle \Tud{\omega}{\nu}{\rho} , Y \rangle \langle \Tud{\omega}{\rho}{\mu}, X \rangle $$ and so $$\Tud{\Omega}{\nu}{\mu} (X, Y) e_\nu = (\nabla_X \nabla_Y - \nabla_Y \nabla_X - \nabla_{[X, Y]}) e_\mu $$ which is exactly what we want.