I have heard stories of Rome stopping its conquests in other areas, such hadrians wall. But is there evidence of conquests into modern day Russia? Was a conquest through Romania, Ukraine and into Russia looked into by the Roman Empire, if not why?
The area that is now Romania, was conquered by the Romans, under Trajan from 101-106CE. The Romanians speak a Romance language, similar to French/Spanish/Italian, and we can see the Roman influence in the name of the country. The famous Trajan's column in Rome is our best record for the Dacian (What Romania was then called) Wars.
As for Ukraine, the Southern tip and the Crimea was actually colonised by the Greeks in the 7th century BCE, where it was used to grow grain for the cities on the Greek mainland. Colonies like Olbia continued to be populated through the Roman period.
As for an actual invasion, there was probably never going to be an invasion into what is now Russia. Whilst there were some trade links since Greek times, the area was scarcely populated, and it would have meant crossing through densely wooded areas around the Rhine region, or venturing through the Scythian lands north of the black sea, a dangerous task for any army.
There was very little indirect contract between Rome and those living modern Russia, and probably no direct except around the Black Sea. The closest thing to it would be the Amber Road, a trade network of extraordinary time depth, but it mainly passed from the Baltics through central Europe.
As for why they didn't go conquering, it might be better to ask why they would.