We investigate theoretically the influence of an external magnetic field on the spin dynamics of excitons in diluted magnetic semiconductor quantum wells. To this end, we apply a quantum kinetic theory beyond the Markov approximation which reveals that non-Markovian effects can significantly influence the exciton spin dynamics. If the magnetic field is oriented parallel to the growth direction of the well, the Markovian spin-transfer rate decreases monotonically with increasing field as predicted by Fermi's golden rule. The quantum kinetic theory follows this result qualitatively but predicts pronounced quantitative differences in the spin-transfer rate as well as in the long-time spin polarization. However, for an in-plane magnetic field, where the Markovian spin-transfer rate first drops and then increases again, quantum kinetic effects become so pronounced that the Markovian trend is completely reversed. This is made evident by a distinct maximum of the rate followed by a monotonic decrease. The deviations can be traced back to a redistribution of carriers in energy space caused by correlations between excitons and magnetic dopants. The same effect leads to a finite electron-spin polarization at long times in longitudinal as well as transverse fields which is much larger than the corresponding Markovian prediction.