A perfect square wave has infinite bandwidth. The phase change from high to low theoretically happens instantaneously. Practically
nothing moves that fast in the real world. Voltages take time to go up and down because of inductance and what not in the circuit, the cone of the speaker needs to start accelerating to move, etc. A speaker cone doesn't move instantaneously from its high point in the wave to the low point in the wave, it takes time for it to move and actually push the air around. Plus, the air itself is kind of springy, so even
if the speaker did move instantaneously (which it can't, it would have to move at infinite acceleration) the resulting pressure wave wouldn't be nearly as sharp of a transition.
Your ears don't experience pure square waves. They can't. They'll get the approximation of a square wave as close as they can experience them, but your ear drum doesn't immediately warp from one point to another. It gradually moves. The fluid in your ear has its own springiness. The hairs which do the final detection don't just instantly move either, they're being vibrated by the motion of the fluid in your ear.
And yeah, technically your eardrums can be moved by waves higher than 20kHz. But its not just the motion of your ear drums that give you hearing, its lots of tiny hairs in your inner ear that resonate at different frequencies that gives you the detection of certain audio frequencies that are present. Normal humans (read: practically everyone) tend to only have the equipment to accurately sense up to ~20kHz pressure waves with our ears as sound. As you age the areas which detect higher frequency sounds get less sensitive first, so you start losing the ability to hear those higher frequency sounds first.
It does seem like you're missing a bit of knowledge about signal theory though. That would really help you understand what I mean when I say a real square wave has infinite bandwidth. A very rough and basic idea to help here is that a wave can be thought of as a sum of fundamental sine waves. So a square wave is essentially the sum of all the component fundamentals, each fundamental gets sharper and sharper edges of the square. But the only way for the sine wave to have a truly vertical edge is to be infinite frequency, right? And what are the edges of a square wave? Vertical lines. So to keep adding these fundamentals together to achieve a square output, you'd need to add an infinite sum of sines together to make an actually perfect square. Monty touches on this in that video a bit, but it goes pretty quick.