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We study the joint effect of the non-linearity of interactions and noise on coevolutionary dynamics. We choose the coevolving voter model as a prototype framework for this problem. By numerical simulations and analytical approximations we find three main phases that differ in the absolute magnetization and the size of the largest component: a consensus phase, a coexistence phase, and a dynamical fragmentation phase. More detailed analysis reveals inner differences in these phases, allowing us to divide two of them further. In the consensus phase we can distinguish between a weak or alternating consensus (switching between two opposite consensus states), and a strong consensus, in which the system remains in the same state for the whole realization of the stochastic dynamics. Additionally, weak and strong consensus phases scale differently with the system size. The strong consensus phase exists for superlinear interactions and it is the only consensus phase that survives in the thermodynamic limit. In the coexistence phase we distinguish a fully-mixing phase (both states well mixed in the network) and a structured coexistence phase, where the number of links connecting nodes in different states (active links) drops significantly due to the formation of two homogeneous communities of opposite states connected by a few links. The structured coexistence phase is an example of emergence of community structure from not exclusively topological dynamics, but coevolution. Our numerical observations are supported by an analytical description using a pair approximation approach and an ad-hoc calculation for the transition between the coexistence and dynamical fragmentation phases. Our work shows how simple interaction rules including the joint effect of non-linearity, noise, and coevolution lead to complex structures relevant in the description of social systems.