The two-dimensional character and reduced screening in monolayer transition-metal dichalcogenides (TMDs) lead to the ubiquitous formation of robust excitons with binding energies orders of magnitude larger than in bulk semiconductors. Focusing on neutral excitons, bound electron-hole pairs that dominate the optical response in TMDs, it is shown that they can provide fingerprints for magnetic proximity effects in magnetic heterostructures. These proximity effects cannot be described by the widely used single-particle description but instead reveal the possibility of a conversion between optically inactive and active excitons by rotating the magnetization of the magnetic substrate. With recent breakthroughs in fabricating Mo- and W-based magnetic TMD heterostructures, this emergent optical response can be directly tested experimentally.