We report growth of high quality ZnO/Zn0.8Mg0.2O quantum well on M-plane oriented ZnO substrates. The optical properties of these quantum wells are studied by using reflectance spectroscopy. The optical spectra reveal strong in-plane optical anisotropies, as predicted by group theory, and marked reflectance structures, as an evidence of good interface morphologies. Signatures ofc onfined excitons built from the spin-orbit split-off valence band, the analog of exciton C in bulk ZnO are detected in normal incidence reflectivity experiments using a photon polarized along the c axis of the wurtzite lattice. Experiments performed in the context of an orthogonal photon polarization, at 90^{∘}; of this axis, reveal confined states analogs of A and B bulk excitons. Envelope function calculations which include excitonic interaction nicely account for the experimental report.