We have studied the growth conditions to obtain the chemically well ordered L1(0) phase of the FePd alloy deposited on ZnSe and CdZnMgTe II-VI semiconductors. We have observed that the segregation of Se or Te atoms at the surface involved a dramatic effect on the formation of the L1(0) phase. The strong anisotropy exhibited along the growth direction allows to observe, by magnetic force microscopy, the perpendicular magnetic configuration with up and down domains. Comparably, we have grown, on the same materials, Cu/Ni multilayers showing a clear perpendicular magnetic anisotropy. Optical measurements on a semimagnetic heterostructure covered by a ferromagnetic metal layer suggest fluctuations of the Fermi level at the interface between the semiconductor and the metal.