As you are no doubt aware, most of Scotland isn't that productive in terms of land. Scotland could have been conquered easily but there was no material benefit to doing so, particularly when Hadrian's wall was such a brilliant defensive position and the infrastructure around the wall was so well developed. You are correct in that Agricola's recall somewhat knocked the steam out of the conquest, but Scotland was never really a priority for economic purposes (much like Ireland).

If you've not been to Hadrian's Wall, it is well worth a visit. It is, perhaps, the best wall of its kind ever built and the manner in which it exploited the Northumbrian landscape is extraordinary particularly given that you can go to the well preserved fort of Vindolanda which, neatly, is close to what is, in my view, the most spectacular part of the wall utilising the natural defences of the landscape.

The Antonine Wall, across the Central Belt of Scotland, is far less well preserved due to it not being built as much out of stone and also due to it being abandoned fairly quickly because the roman infrastructure wasn't there to support it.

It's a bit of a misconception that the wall was to keep the natives out. Don't think of it as a battlefront, more like a border station that controlled what came in and out of the empire.

As the empire grew there was essentially less people to conquer and the Roman economy could not be reliant on looting. (It generally wasn't but the odd rape and pillage give them a bit of a financial boost)

Hadrian knew that some land just wasn't worth what it cost to defend. It was far better to have stable borders and trade with the people beyond them, so his reign was known for giving up land and consolidating what they had.

I know Wikipedia isn't much of a source but here you go, he's quite an interesting character. http://en.wikipedia.org/wiki/Hadrian#Hadrian_and_the_military

Others have given a good explanation of the Roman presence in Scotland and the purpose of the walls. You might want to read this. There is a significan amount of objects north of the wall which would have come through Roman trade channels, and there is no question that the wall wasn't hermetically sealed but use to control a potentially lucrative trade (especially in a region with little exploitable wealth).

England and Wales themselves were almost entirely occupied by the end of Agricola's campaigns, probably until the late 4th century (Rome is held to have left Britain traditionally in 405 AD).

Roman Wales was the subject of my thesis so I am more familiar with evidence from there. Long story short, it took the better part of 30 years for the last campaigns to be waged in Wales - whilst a tribe might be "defeated" and a garrison established, power could be regained by the native tribe, in particular towards the start of the Roman occupation, when the legions were overstretched in a hostile island that was not quiet. There is no evidence of significant rebellions after Agricola, most likely for two reason: (1) those that were against Rome were killed during the campaigns or were in too few numbers compared to (2) the new/remaining elite of local tribes accepted the new order to maintain their place in local hierarchy. Eventually, tribes could hope to be given "civitas" status - this allowed them to have their own assembly, magistrates, and a small degree of local autonomy within Roman rule.

You may also be interested to learn that Agricola, again according to Tacitus, apparently planned an invasion of Ireland, and reckoned that the island could be defeated and held by a single legion. Some historians believe he actually did cross for a brief period, but there is no evidence. See wiki.

Others have allready gone into this but I wanne hammer it as well. The Wall was not there as some kind of bullwork against a storm of natives attacking. Its not like the Two Towers where the Orks would storm the walls.

The romans use the wall as a strategic controll element where the troupes where stationed. Both sides of the wall where in contact with the garrison of the wall. The thing you see in movies where one side is civilised and the other is some unknown jungle is false. The wall was build where it was because moving it forther north would make it harder to supply.

Natives on both sides of the wall where in contact with romans and tribes and natives had the typical roman client-patron relationship with somebody in roman goverment.

So the wall does not represent some kind of 'end' to the roman world. There are actually forts at the wall where 'roads' go out and deep into the lands beyond. Most of the time these people came to the wall to trade.

What the romans did not so much do is controll the highlands, there is not much of value and concat with that region was not as strong. So I guess one could argue that Scotland was never conquerd, but then again there where lots of places in the empire that the romans did not controll directly. Tecnicly Switzerland is in the middle of the empire but there where still tribies living in the mountains with very little contact with the romans, so can I also talk about how the romans never conquered all of Switzerland?

I cant really answer the question about Agricola but I thought the backround infromation on how roman frontiers normally workers would help you understand.

Also, as some extra information, it was the same on all the frontiers. The Rivers that where the frontiers operated in the same way, germania was never conquered but tribes on both sides of the river where in some kind of relation ship with the goverment.

Befor the first world war, nobody could have a front from the north sea to the alps.

Thanks for all the replies folks, all interesting stuff! It's nice to know as well that Scottish history teachers of the mid-90s were wildly simplifying the purpose of Hadrian's wall! At least, mine were...