Are capsules removed at all during an implant exchange?

Thinner capsules can be dealt without actual removing all the capsule. Thick capsule are more likely to require complete removal which is a capsulectomy

Dear Intuitive7188,
in case of capsular contracture, most plastic surgeons will remove implants and capsules together. If you are considering surgery, I would suggest you consult a board-certified plastic surgeon. Only after a thorough examination, you will get more information and recommendations.
Daniel Barrett, MD
Certified, American Board of Plastic Surgery
Member, American Society of Plastic Surgery
Member, American Society of Aesthetic Plastic Surgery

The portion that is thick and tight may be removed. The portion of the capsule that is very thin may be left in place for safety to the surrounding tissue, especially in those with saline implants.

It's difficult to determine if the pain you are experiencing is from capsular contracture. Exchanging the implant may help. A full capsulectomy or a partial one may help. The way that your surgeon approaches your case is individual. If you are unsure about your surgical plan, visit with another surgeon who can examine you and discuss your situation in more detail.