I can understand not trying to explore the Sahara a bit more, but were efforts ever made? Did anyone propose going down the Nile a bit longer? I'm almost positive some sort of expedition was made...
There are records of 5 expeditions the Romans undertook to explore further south in Africa. Each of them taking a different route:
In terms of conquest they achieved very little, these expeditions where more of a scouting trip to prepare for future conquests. These never happened however, it would have been difficult for them to conquer and keep a presence in Sub-Saharan regions. Supply and communication lines would have been a huge logistical problem.
Roman artifacts have been found in the Sahara desert, and even some Roman coins were found about 600 km from the Niger river. They were clearly looking for a way south, but apparently never found one that was feasible enough to send more expeditions. A combination of difficult terrain and climate, combined with the possible return of investment made them look elsewhere for easier targets.
There is evidence of trade across the Sahara as far as places like Akjoujt and Tamkartkart in present day Mauritania.
The expedition down the Nile ordered by Nero is believed to be the first European expedition to the interior of equatorial Africa.