The unfortunate answer is: we don't really know. We don't know why exactly it was built. We don't know why it was abandoned. We don't know why it was abandoned...again. All we can do is speculate. One possibility was that it may have actually hurt the Romans more than it helped them. Hadrian's Wall was possbly built as not only a way to demarcate Roman Britain from Caledonia, it also might have been purposefully chosen to be built where it was to effect control over the Brigantes, reportedly one of the most powerful tribes on the Island. It bisected their territory in half and gave the Romans extensive control over the access to trade and even family. This may have bought the loyalty (or at least subservience) of the Brigantes and other smaller tribes in the area. It is possible that the more northern wall compromised this lever of control and introduced instability in to Rome's relationship with the local tribes there. Having a wall farther north is only useful if you can actually pacify the area south of the wall, and based on it's abandonment twice, we can probably assume that the Romans did not think that worthwhile or realistic.