To eliminate the square I am afraid you will need to go to a triple integral:
Integrate[Integrate[f[s, u], {u, 0, s}]^2, {s, 0, T}] ==
Integrate[Integrate[f[s, u], {u, 0, s}]*
Integrate[f[s, v], {v, 0, s}],
{s, 0, T}] ==
Integrate[Integrate[f[s, u] f[s, v], {u, 0, s}, {v, 0, s}],
{s, 0, T}] ==
Integrate[f[s, u] f[s, v], {s, 0, T}, {u, 0, s}, {v, 0, s}]