Well, they tried to invade Scotland, but it turned out badly. They tried to build a second wall inside Scotland.
You had a bunch of Roman Legionaries from warmer climates getting rained on.
Then the hail came then hail of a different kind and someone yelling “Fore!” from a far hillside.
Then the trees moved because it was actually naked men painted blue, not blue from the cold.
The Romans did the math and decided conquering Scotland was just too much bloody work.