Given the harsh winters in the Highlands and that the Scots were not making single malts yet, why bother to conquer it?
The circumnavigation must have shaken loose the information that the NW islands are often quite temperate -- in modern times the Inner Hebrides sport palm trees here and there -- and getting rid of any kind of yokels who might threaten the existing, and quite popular colony of Britain, must have been some kind of midrange priority.
Imagine the Romans with single malt scotch... pissed off and hungover... yeah, that might have led to much crankier Empire. ;^)
Given the harsh winters in the Highlands, and other lacks of worthy goods, especially in bad crop years, the wall was not doubt used to keep the norther tribes from attacking the more prosperous southern areas. Approximately the same reason we are building a wall to keep the less prosperous neighbors to the south from overrunning the USA. Are there any lessons to be learned from this history???