First, let me agree with the notion that through interference of the supersonic 
audible artifacts through reverberation can come into existence. The early reverb can easily transfer some energy into the audio band and the (partially non-linear) reverb tail of any non-dead listening space will even out frequencies (measuring supersonic components as well) and will easily concentrate mid-long reverb components in standing waves, which can be driven by higher than 20kHz harmonics as well.

Moreover, the speaker will have a big impact on the sound of the square wave: 
the long
horizontal parts will be strongly influenced by how low you sub-woofer goes and how straight it is, the rise time will be influenced by the amplifier, the impedance of the
tweeter and it's physical properties. In my case for instance I use a ribbon 
tweeter with
fast enough rise time very neutral amplifier, with a separation filter at 8kHz, 
so that
essentially it reproduces the top octave of the audible frequencies only. The 
mids must
be very straight to make the rest of a "perfect" input square come out your 
neutrally, which especially digitally is hard to do (the reconstruction filter 
will at
the very least show lag of phases in the mid frequency range) unless you know 
how to
prevent that.

The limiting of the frequency components in order to prevent aliasing is kind 
of needed
per the definition of the reconstruction theory, *how* you do that is of course another discussion. For instance you could add all harmonics with high mathematical accuracy according to the curve of a perfect 2 order filter, and then cut off all the harmonics above a little under half the sampling frequency (so including natural looking phase shift above a certain frequency) which might look more natural.

*How* you're going to, lets say right at the output of your chosen DAC, make sure your digital square + DAC preparation is going to be as close to a "normally pure" square as
possible isn't really the issue, but if you do nothing but a simple curve, my 
is that you might not get harmonic distortion down as far as I would deem 
needed for HiFi

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