I always thought that the Romans never set foot in Scotland, well I guess I’ve been proven wrong!
The Romans realized (three or four times) that there was almost literally nothing of value in all of Caledonia (there was no Scotland, and the Scots didn't arrive from Ireland until the Romans had been gone for over a century), campaigns were expensive, and there were generally other fish to fry. Most of the revenue to support the empire's structure came from a handful of provinces, almost all of them in the east.
Hadrian's Wall was in a better spot, since it mostly runs along the top of a natural ridgeline, minimizing the size of the garrison, which was typically made up of non-Roman auxiliaries under Roman command.