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@IgorBelegradek: The question is whether $X$ is convex assuming that $\Pi\cap X$ is a convex subset of $\Pi$, for all planes $\Pi$ passing through some point $p$ of $M$. A subset of $\Pi$ (which itself is a Cartan-Hadamard space) is convex if every pair of points of $\Pi$ can be joined by a geodesic of $\Pi$ which lie in that set.