Here's what should be the mathematically rigorous statement and proof:
Let $\rho_*\colon g\to\mathrm{End}(V)$ be the Lie algebra homomorphism induced by the Lie group homomorphism $\rho\colon G\to\mathrm{GL}(V)$. Consider the right action
\begin{equation*}
\mathrm{End}(V)\times V\ni(A,v)\mapsto A\cdot v:=A(v)\in V.
\end{equation*}
If $A\in C^{\infty}(U,g)$,
\begin{align}
\rho_*A\colon C^{\infty}(U,V)&\to C^{\infty}(U,V)\\
\phi&\mapsto(\rho_*\circ A)\cdot\phi
\end{align}
is $C^{\infty}(U)$-linear. $\rho_*(A+B)=\rho_*A+\rho_*B$ and $[\rho_*A,\rho_*B]=\rho_*[A,B]$.
If $x\colon U\to\mathbf{R}^n$ is a chart, each vector field
\begin{equation*}
\partial_\mu=\frac{\partial}{\partial x^\mu}\in\Gamma(U,TM)
\end{equation*}
induces an endomorphism
\begin{align*}
\partial_{\mu}\colon C^{\infty}(U,V)&\to C^{\infty}(U,V)\\
\phi&\mapsto\mathrm{d}\phi(\partial_{\mu})=\partial_{\mu}(\phi\circ x^{-1})\circ x
\end{align*}
and
\begin{equation}
\nabla_{\mu}=\partial_{\mu}+\rho_*A_{\mu}.
\end{equation}
Corollary:
\begin{equation}
[\nabla_\mu,\nabla_\nu]=\rho_*F_{\mu\nu}
\end{equation}
Proof:
The equation
\begin{equation*}\tag{1}
\partial_{\mu}\circ(\rho_*A_{\nu})=\rho_*(\partial_{\mu}A_{\nu})+\rho_*A_{\nu}\circ\partial_{\mu}
\end{equation*}
implies
\begin{equation*}
[\partial_{\mu},\rho_*A_{\nu}]+[\partial_{\nu},\rho_*A_{\mu}]=\rho_*(\partial_{\mu}A_{\nu})-\rho_*(\partial_{\nu}A_{\mu}).
\end{equation*}
Thus, using the structure equation, we obtain
\begin{align*}
[\nabla_\mu,\nabla_\nu]=[\partial_{\mu}+\rho_*A_{\mu},\partial_{\nu}+\rho_*A_{\nu}]=[\partial_\mu,\partial_\nu]+[\partial_{\mu},\rho_*A_{\nu}]+[\partial_{\nu},\rho_*A_{\mu}]+[\rho_*A_\mu,\rho_*A_\nu]\\=\rho_*\partial_{\mu}A_{\nu}-\rho_*\partial_{\nu}A_{\mu}+\rho_*[A_{\mu},A_{\nu}]=\rho_*(\partial_{\mu}A_{\nu}-\partial_{\nu}A_{\mu}+[A_{\mu},A_{\nu}])=\rho_*F_{\mu\nu},
\end{align*}
(I used the structure equation in the last step.)
Addendum - proof of equation $(1)$
More explicitely, equation $(1)$ means
\begin{equation*}
\partial_{\mu}(\rho_*(A_{\nu})\phi)=\rho_*(\partial_{\mu}A_{\nu})\phi+\rho_*(A_{\nu})\partial_{\mu}\phi
\end{equation*}
for all $\phi\in C^{\infty}(U,V)$ ("product rule"). Even more explicit:
\begin{equation*}
\partial_{\mu}((\rho_*A_{\nu}\cdot\phi)\circ x^{-1})\circ x=\rho_*(\partial_{\mu}(A_{\nu}\circ x^{-1})\circ x)\cdot\phi+\rho_*A_{\nu}\cdot(\partial_{\mu}(\phi\circ x^{-1})\circ x)\in C^{\infty}(U,V)
\end{equation*}
If we define $A_\nu:=A_\nu\circ x^{-1}\in C^{\infty}(x(U),g)$ (notice the abuse of notation), this is equivalent to
\begin{equation*}
\partial_{\mu}(\rho_*A_{\nu}\cdot\phi)=\rho_*\partial_{\mu}A_{\nu}\cdot\phi+\rho_*A_{\nu}\cdot\partial_{\mu}\phi\in C^{\infty}(x(U),V)
\end{equation*}
for all $\phi\in C^{\infty}(x(U),V)$.
Since the partial derivative is the total derivative of a function defined on an open interval, it suffices to prove the equation for $n=1$:
Let $I\subset\mathbf{R}$ is an open interval, $V$ and $W$ normed vector spaces, $O\colon W\to\mathrm{End}(V)$ a linear and continuous function and $f\colon I\to W$, $g\colon I\to V$ differentiable functions. If $Ow\in\mathrm{End}(V)$ is continuous for all $w\in W$, $Of\cdot g\colon I\to V$ is differentiable and
\begin{equation*}
(Of\cdot g)'=Of'\cdot g+Of\cdot g'.
\end{equation*}
Proof: Let $x\in I$. To simplify the notation, we define
\begin{equation*}
\delta F:=F(x+\delta)-F(x),F(x)=:F
\end{equation*}
for all functions $F\colon I\to X$. We want to prove that for every $\epsilon>0$ there exists an $r>0$ s.t.
\begin{equation*}
|\delta(Of\cdot g)-\delta\cdot(Of'\cdot g+Of\cdot g')|<|\delta|\epsilon
\end{equation*}
for all $\delta\in(-r,r)$. This follows from the following facts:
For every $\epsilon>0$ there exists an $r>0$ s.t. $|\delta f-\delta\cdot f'|<|\delta|\epsilon$ and $|\delta g-\delta\cdot g'|<|\delta|\epsilon$ for all $\delta\in(-r,r)$.
$\delta(Of\cdot g)=O\delta f\cdot g+Of\cdot\delta g+O\delta f\cdot\delta g$
$O\delta f\cdot\delta g=O(\delta f-\delta\cdot f'+\delta\cdot f')\cdot(\delta g-\delta\cdot g'+\delta\cdot g')
=O(\delta f-\delta\cdot f')\cdot(\delta g-\delta\cdot g')\\+O(\delta f-\delta\cdot f')\cdot(\delta\cdot g')+O(\delta\cdot f')\cdot(\delta g-\delta\cdot g')+O(\delta\cdot f')\cdot(\delta\cdot g')$
Triangle inequality
$|(O(w))(v)|\leq|O||w||v|$ for all $(v,w)\in V\times W$.