Cation exchange enables the preparation of nanocrystals (NCs), which are not reachable by direct synthesis methods. In this work, we applied Pb2+-for-Cd2+ cation exchange on CdSe nanoplatelets (NPLs) to prepare two-dimensional CdSe-PbSe heterostructures and PbSe NPLs. Lowering the reaction temperature slowed down the rate of cation exchange, making it possible to characterize the intermediary NCs ex situ with atomically resolved high-angle annular dark-field scanning transmission electron microscopy and optical spectroscopy. We observe that the Pb2+-for-Cd2+ cation exchange starts from the vertices of the NPLs and grows into the zinc blende CdSe (zb-CdSe) lattice as a rock salt PbSe phase (rs-PbSe), while the anion (selenium) sublattice is being preserved. In agreement with previous works on CdTe-PbTe films, the interfaces between zb-CdSe and rs-PbSe consist of shared {001} and {011} planes. The final PbSe NPLs are highly crystalline and contain protrusions at the edges, which are slightly rotated, indicating an atomic reconfiguration of material. The growth of PbSe domains into CdSe NPLs could also be monitored by the emission peak shift as a function of the exchange time. Temperature-dependent emission measurements confirm a size-dependent change of the band gap energy with temperature and reveal a strong influence of the anisotropic shape. Time-resolved photoluminescence measurements between 4 and 30 K show a dark-bright exciton-state splitting different from PbSe QDs with three-dimensional quantum confinement.