Simplistically, Southern Scotland was a mixture of Celtic tribes, whilst the north was Pictish, also probably a Celtic race, albeit an older variant hence the difference in Pictish and the other Celtic languages in southern Scotland.
So we can assume that Hadrian's wall was meant to protect from a mix of Celtic Tribes that might have included some old Celtic Pictish ? Perhaps the newer Celtic Tribes also took up the Blue Body Painting habit and that may have led the Romans to just assume they were all Pictish ?