Yes, “exchange” means you will eventually be asked to hand over your British licence and you will be issued with a French one in return. The British licence will not be returned to you. I think they send it to the licensing authorities in the UK.
The problem for anyone who has moved from the UK to France and who needs/wants to be able to drive in the UK while visiting, is that - as has already been pointed out - you’re not allowed to drive in the UK with a licence that shows an address where you no longer reside.
So you need a French licence showing your current address.
That would not be a problem if the exchange process took, say, a month. But in our case, and I know we’re not alone, it took ONE YEAR from the date of submitting the application form with all the requisite supporting documents (in the interim, the requirements seem to have become more onerous - I think (very expensive) certified translations are now needed as well) to receive just the “attestation de dépôt” together with the instruction to submit the actual British licence.
That attestation + instruction finally came in October 2018. It’s now February 2019 and still nothing.
So, technically, my husband hasn’t been able to drive in the UK since moving here. And he still can’t because, as requested, he has sent his UK licence to Nantes and I doubt very much whether this “attestation de dépôt” is valid outside France.
It’s a bit of a nightmare to be honest. I’ve tried calling Nantes but they were rude and unhelpful and the email I sent weeks ago has gone unanswered.

That’s the problem - the Préfecture doesn’t handle driver licensing anymore. Not since the autumn 2017.
The operation has been centralised in Nantes.
Yes, when they send you the instruction to send in your UK licence they provide you with an “attestation de dépôt” for the police in case you are stopped. But I doubt this piece of paper counts for much outside France.
For anybody needing/wanting to drive outside France, it’s a royal PITA.

I am amazed how many of my fellow British expats here in Strasbourg are unaware that you’re not allowed to drive in the UK on a licence showing an address where no longer live. I think for years no such rule existed - or if it did, there was zero public awareness of it - but a few years ago the UK government introduced a £1,000 on the spot fine and suddenly it became an issue.

I’ve just checked the service public.fr website and, as far as I can see, the list of requirements does not mention translations so that’s something at least.
Thank God because it would cost a fortune.

You would still have to go through Nantes. Not your local préfecture.
But if you’re just exchanging an existing French licence for an updated version, I imagine the process would be quick & painless.

No need to go to the prefecture. Driver licensing has been centralised in Nantes.

Just a little update.
I called Nantes yesterday on 3400. After you select “permis de conduire” none of the options offered correspond to “échange de permis étranger” so you have to pick the last option “Autres questions”.
After 15 minutes I got through to a human who sounded a bit robotic and was definitely reading from a script but was at least able to confirm thst my husband’s licence is “en cours de production” and should be with him soon.
Quel bonheur!