Here I post a solution to the simple problem I posed, based on Ted Shifrin's hints and remarks.
Proof:
For an arbitrary section $s_1\otimes s_2\in\Gamma(E_1\otimes E_2)$ we have:
$F_{\nabla}(s_1\otimes s_2)=\nabla(\nabla(s_1\otimes s_2))=\nabla(\nabla_1(s_1)\otimes s_2+s_1\otimes\nabla_2(s_2))$.
In the following we compute $\nabla(\nabla_1(s_1)\otimes s_2)$ and $\nabla(s_1\otimes\nabla_2(s_2))$ separately.
We pay attention to the fact that $\nabla_1(s_1)\otimes s_2$ and $s_1\otimes\nabla_2(s_2)$ are no sections of $E_1\otimes E_2$ but 1-forms with values in the tensor bundle
$E_1\otimes E_2$ so we cannot use the decomposition $\nabla=\nabla_1\otimes
1+1\otimes\nabla_2$ on them directly.
Instead we use the fact that we can express
$\nabla_1(s_1)\in\mathcal{A}^1(X, E_1)$ as a linear combination of elements $\alpha\otimes
t$, $\alpha\in\mathcal{A}^1(X)$, $t\in\Gamma(E_1)$ and $\nabla_2(s_2)$ as a linear combination of elements $s\otimes\beta$, $s\in\Gamma(E_2)$, $\beta\in\mathcal{A}^1(X)$, respectively.
We compute then:
$\nabla(\nabla_1(s_1)\otimes s_2)=\sum_i(\nabla(\alpha_i\otimes t_i\otimes s_2))=\sum_i(d\alpha_i\otimes t_i\otimes s_2-\alpha_i\wedge \nabla(t_i\otimes s_2))=\sum_i (d\alpha_i\otimes t_i\otimes s_2-\alpha_i\wedge \nabla_1t_i\otimes s_2 + \alpha_i \otimes t_i\wedge\nabla_2s_2)=\sum_i ((d\alpha_i\otimes t_i-\alpha_i\wedge\nabla_1t_i)\otimes s_2-(\alpha_i\otimes t_i)\wedge \nabla_2(s_2))=\sum_i(\nabla_1(\alpha_i\otimes t_i)\otimes s_2-(\alpha_i\otimes t_i)\wedge\nabla_2(s_2))=\nabla_1(\nabla_1(s_1))\otimes s_2-\nabla_1(s_1)\wedge\nabla_2(s_2)=F_{\nabla_1}(s_1)\otimes s_2-\nabla_1(s_1)\wedge\nabla_2(s_2)~~~~(1)$
where we used the natural extension of $\nabla: \mathcal{A}^k(X, E_1\otimes E_2)\rightarrow\mathcal{A}^{k+1}(X, E_1\otimes E_2)$ given by
$\nabla(\gamma\otimes u)=d\gamma\otimes u+(-1)^{|\gamma|}\gamma\wedge\nabla u$.
Analogously, repeating the same steps as above one gets
$\nabla(s_1\otimes\nabla_2(s_2))=s_1\otimes F_{\nabla_2}(s_2)+\nabla_1(s_1)\wedge\nabla_2(s_2)~~~~(2)$.
Adding (1) and (2) one gets the desired formula.
Q.E.D.