We show that the in-plane heterostructures realized in vertical cavities with high contrast grating (HCG) reflector enables exotic configurations of heterostructure and photonic wells. In photonic crystal heterostructures forming a photonic well, the property of a confined mode is determined by the well width and barrier height. We show that in vertical-cavity in-plane heterostructures, anisotropic dispersion curvatures plays a key role as well, leading to exotic effects such as a photonic well with conduction band like well and a valence band like barrier. We investigate three examples to discuss the rich potential of this heterostructure as a platform for various physics studies and propose a system of two laterally coupled cavities which shows the breaking of parity-time symmetry as an example.