Suppose we had the functions: $$g(t)=\theta(t)(e^{-t}+2e^{-2t})+2\delta(t)$$ and $$u(t)=2(\theta(t)-\theta(t-2))$$ Then we have $$u*g=\int_{-\infty}^{\infty}g(\tau)u(t-\tau)d\tau=2\int_{t-2}^{t}(e^{-\tau}+2e^{-2\tau}+2\delta(\tau))d\tau$$ which then reduces to: $$u*g=-2e^{-t}+2e^{-2t}+2e^{-2t+4}-2e^{-2t}+4(\theta(t)-\theta(t-2))$$
However, using Laplace transform I arrived to this result: $$u*g=(\theta(t)-\theta(t-2))(16-4e^{-t}-4e^{-2t})$$
The fact that the results do not agree leads me to believe that I am missing something very important while doing the integration part.
In all of the above lines, $\theta(x)$ represents the unit step function, and $\delta(x)$ is the Dirac impulse function. Using the advice I got in the comments I got : $$u*g=2\int_{t-2}^{t}(e^{-\tau}\theta(\tau)+2e^{-2\tau}\theta(\tau)+2\delta(\tau))d\tau$$ Then, I tried solving the integral, but making this suspicious step in the calculations: $$\int_{t-2}^{t}e^{-\tau}\theta(\tau)d\tau=-e^{-\tau}\theta(\tau) |^{t}_{t-2}$$
The result I got is: $$u*g=\theta(t)(-2e^{-2t}-2e^{-2t}+4)+\theta(t-2)(2e^{-t+2}+2e^{-2t+4}-4)$$
Let me walk you through both ways of computing the convolution. First let's compute the convolution in the time domain. Define
$$f(t)=(e^{-t}+2e^{-2t})\theta(t)\\g(t)=f(t)+2\delta(t)\tag{1}$$
We have
$$(u*g)(t)=(u*f)(t)+2u(t)\tag{2}$$
$$(u*f)(t)=\int_{-\infty}^{\infty}u(\tau)f(t-\tau)d\tau=2\int_{0}^2\theta(t-\tau)\left(e^{-(t-\tau)}+2e^{-2(t-\tau)}\right)d\tau\tag{3}$$
We have to distinguish three cases. For $t<0$, the integral $(3)$ is zero. For $0\le t\le 2$ we have
$$2\int_{0}^t\theta(t-\tau)\left(e^{-(t-\tau)}+2e^{-2(t-\tau)}\right)d\tau=2\left(2-e^{-t}-e^{-2t}\right)\tag{4}$$
Finally, for $t>2$ we get
$$2\int_{0}^2\theta(t-\tau)\left(e^{-(t-\tau)}+2e^{-2(t-\tau)}\right)d\tau=2\left(e^{-(t-2)}+e^{-2(t-2)}-e^{-t}-e^{-2t}\right)\tag{5}$$
Combining this with Eq. $(2)$ we get
$$(u*g)(t)=\begin{cases}0,&t<0\\ 8-2e^{-t}-2e^{-2t},&0\le t\le 2\\ 2\left(e^{-(t-2)}+e^{-2(t-2)}-e^{-t}-e^{-2t}\right),&t>2\end{cases}\tag{6}$$
If we use the Laplace transform we get
$$U(s)=\frac{2}{s}\left(1-e^{-2s}\right)\\ G(s)=\frac{1}{s+1}+\frac{2}{s+2}+2$$
and
$$\begin{align}U(s)G(s)&=\left(\frac{2}{s(s+1)}+\frac{4}{s(s+2)}+\frac{4}{s}\right)\left(1-e^{-2s}\right)\\&=\left(\frac{8}{s}-\frac{2}{s+1}-\frac{2}{s+2}\right)\left(1-e^{-2s}\right)\end{align}\tag{7}$$
The inverse transform of $(7)$ is
$$(u*g)(t)=\left(8-2e^{-t}-2e^{-2t}\right)\theta(t)-\left(8-2e^{-(t-2)}-2e^{-2(t-2)}\right)\theta(t-2)\tag{8}$$
It is straightforward to show that $(6)$ and $(8)$ are identical.