I understand that the Romans were unable to conquer Scotland so they build Hadrian’s Wall (which explains the survival of older cultures there).

Keep in mind it was less "unable to" and more "not interested enough to". They could have absolutely taken Scotland if they poured enough legions into it, but then what, oats? Hadrian's wall and all the other parallel walls were basically a way to keep the neighbors in check so they could send more troops to places like the Persian border they cared about a lot.