Robert E. Howard, the guy who created Conan the Barbarian in 1930s pulp fiction, created some much more notable (but less marketable, I guess) characters, one of which was Bran Mak Morn, a king among 'the people of the heather'.
The Picts never halted the Romans. There wasn’t enough of value to make the total conquest worth the money.
The Wall was built by Hadrian (who gave up Roman territory elsewhere, so he could concentrate on what we now call homosexual pedophilia) and the Antonine Wall further north was abandoned.
Geography favored Hadrian’s Wall, and it served as a boundary between the Empire and the lands beyond, such that taxes could be collected for imports and exports.