The photoluminescence (PL) of insulating heterostructures containing an InGaAs/GaAs quantum well (QW) and a tunneling close ferromagnetic (FM) Mn d-layer in the GaAs barrier has been investigated in detail. We found that a slow increase of a circular polarization degree and a Zeeman splitting of the QW emission band at high, normal to the QW plane, magnetic field B > 1 T, characteristic of non-magnetic QWs, is preceded at low temperatures by a much faster increase at B < 1 T. The fast increase slows down with increasing temperature and disappears above a Curie temperature of the Mn d-layer, which evidences effective p-d exchange interaction of the QW holes with Mn ions in the FM d-layer.