Consider the following function depending on a another function, which depends on a parameter $\theta$:
$$ E(F(\theta))$$
The hessian is given by: $$H= \partial^2_{\theta} E = \partial_{\theta} F^T \partial^2_{F} \partial_{\theta} F + \partial_{F} E \ \partial^2_{\theta} F $$
Where does the second term came from?