Interestingly, the Scots were one of the only European cultures that the Romans couldn't conquer. Hadrian finally pulled back, essentially said "Nothing up there is worth another Roman life" and built a wall to keep the Scots at bay.
He was probably right.:-)
The Romans could have conquered them, easily, and Ireland too, but were too busy with problems on the continent. Augustus had cut the size of the Roman army in half after the civil wars were over (from 56 regular legions to 28, plus the Praetorian Guard), adding instead about the same number of auxiliary legions to co-opt the conquered areas into the empire. Earlier empires did the same thing (I'm thinking as an example, Herodotus' list of participants in the Persian invasion force).
Another problem was that Caesar, upon conquering Gaul, had conducted what nowadays would be termed a genocide. The lower population of Roman Gaul was an invitation to people further east. And when the climate cooled, people from Central Asia came down the steppes, just as others had before during earlier coolings.
Also, the hardest areas for Rome to conquer and hold seem to have been forested.