In fact the Romans campaigned well north of the Wall, sweeping all opposing forces from the field and withdrawing when their were no inhabited places left to take and burn and no remaining organized forces opposing them.
See Agricola and the battle of Mons Gropius.
The Romans DID take and subjugate parts of Scotland, but unlike England and Wales, their hold was always tenuous at best and almost as soon as they ‘conquered’, there were rebellions and attacks. Eventually they gave up Caledonia and retreated to the border.