Cation exchange is known to occur during the synthesis of colloidal semiconductor heteronanoparticles, affecting their band gap and thus altering their optoelectronic properties. It is often neglected, especially when anisotropic heterostructures are discussed. We present a study on the role of cation exchange inevitably occurring during the growth of anisotropic dot-in-rod structures consisting of a spherical ZnSe core enclosed by a rod-shaped CdS shell. The material combination exhibits a type-II band alignment. Two reactions are compared: the shell-growth reaction of CdS on ZnSe and an exchange-only reaction of ZnSe cores to CdSe. Transmission electron microscopy and a comprehensive set of optical spectroscopy data, including linear and time-resolved absorption and fluorescence data, prove that cation exchange from ZnSe to CdSe is the dominant process in the initial stages of the shell-growth reaction. The degree of cation exchange before significant shell growth starts was determined to be about 50%, highlighting the importance of cation exchange during the heteronanostructure growth.