Basically Rome never conquered most of Scotland because there was nothing there that was worth the cost of conquering and holding it. Southern Britain was rich by comparison. By the end of their rule the British tribes south of the wall were Romanized, and the withdrawal of the legions left them open to conquest by the Germanic tribes who were being displaced by the Franks and Huns. The same happened to the Celtic tribes of Gaul. Generations of Pax Romana left them without the warrior culture that had allowed them to take most of Europe in earlier times.
Walls are defensive structures. Hadrian built one to keep the Scots out
Basically Rome never conquered most of Scotland because there was nothing there that was worth the cost of conquering and holding it.