Atomically thin crystals of transition metal dichalcogenides are ideally suited to study the interplay of light-matter coupling, polarization and magnetic field effects. In this work, we investiagte the formation of exciton-polaritons in a MoSe2 monolayer, which is integrated in a fully-grown, monolithic microcavity. Due to the narrow linewidth of the polaritonic resonances, we are able to directly investigate the emerging valley Zeeman splitting of the hybrid light-matter resonances in the presence of a magnetic field. At a detuning of -54.5 meV (13.5 % matter constituent of the lower polariton branch), we find a Zeeman splitting of the lower polariton branch of 0.36 meV, which can be directly associated with an excitonic g factor of 3.94pm0.13. Remarkably, we find that a magnetic field of 6T is sufficient to induce a notable valley polarization of 15 % in our polariton system, which approaches 30% at 9T. Strikingly, this circular polarization degree of the polariton (ground) state exceeds the polarization of the exciton reservoir for equal magnetic field magnitudes by approximately 50%, as a consequence of enhanced relaxation of bosons in our monolayer-based system.