The Romans didn’t keep getting their butts handed to them, there simply wasn’t anything worth the cash and effort n of Hadrian’s Wall. In a way that may have been a consequence of Trajan’s conquest of Dacia, which was the largest single payoff in Roman history (the gold mines). His successor was Hadrian, who wanted to bang little boys in the butt undisturbed, and had to be talked out of retreating from Dacia, but who did retreat from the Persian Gulf, built the Wall. And once the wall was up, the frontier was quiet, other than the considerable economic activity. After the Romans left, part of the wall was used as a quarry for building stone. Most of the rest of the wall had been made of turf, as the Antonine Wall had been some miles to the north.
Fine. Show me other examples of these Roman built walls that were meant to keep out entire nations.
Oh. Another point. Some of the losing Celtic royalty retreated into Pictland. So at least the Lowlands were rich in targets. They were later followed by the losing Anglo-Saxon royalty as they fled the Normans. They were a bunch of reasons why a Scottish King eventually sat on the English throne.