Okay, this is detailed, but being an extreme Roman buff, like I live to study Rome, I will provide details for the question.
Around 122 AD. During Rome's heyday, as Hadrian was starting his reign, one of the most prestigious legions in the Roman Empire, the 9th Hispana, dropped off the face of the Earth. Now, unlike previous times where Legions were gone, like Teutoburg Wald where the 17th, 18th, and 19th Legions were annihilated, there are no records, no writings, and no extreme archaeological evidence (that I know of) to support a decisive theory.
The two main theories are as follows.
Caledonian Tribes wiped them out in Scotland. This is a heavily supported theory, and also gives a very good reason as to why Hadrian decided to start building the famous Hadrian Wall around this time as well, however, if this theory is true, why is it that nobody recorded it? As Carrhae, and Teutoburg Wald proved, the Romans did record these massacres, so why not this one?
The Jewish Revolt. Many say that the Legion could have been wiped out by Jewish Rebels in the Second Jewish Revolt, but this is unsupported by time tables and location.
So yeah Historians, please help a Rome lover with this mystery, and if you happen to know about as much as I do, please share your theory as I would love to hear it!
Ok, first things first. We have no idea what happened to the 9th Legion. Now, when I say we have no idea, I mean we don't know if they were moved, if they were destroyed, if they were disbanded peacefully, etc. We really have no clue.
Here's the thing about legions in Rome. It's extremely difficult to track them. People often seem to think that the Romans made bureaucratic lists of their troop deployments. While at a provincial level this was undoubtedly true, and while it was probably somewhat true overall, that's not really the way it was done. During the Principate Roman legions moved around all the time, and even records of their permanent barracks are hard to come by. Archaeological evidence is sometimes helpful, in that we can use it to determine whether a particular legion was in a particular place at a given time (or at least part of it was) but hard-and-fast archaeological evidence like this is rare, and usually only limited to permanent camps, where we already know these legions were.
The other thing is that the Romans really did a terrible job of categorizing their legions. When Octavian defeated Antony at Actium, he received the mass defection of all of Antony's legions, leaving him in control of a massive army of over 60 legions. Most of these were disbanded, and those that survived were pretty much all Octavian's core force, inherited from the old Caesarian army. Those legions were not all numbered 1-60. The numbering of the legions was not standardized, and the magistrate who raised the legion could number it whatever the hell he wanted. During most of the Republic this was easy to do with a limited number of legions all fighting on the same side, and magistrates regularly just numbered them consecutively. But when civil wars began breaking out the roll of legions was thrown totally out of whack, as rival armies began massing, armies which had their own numbering. So it's entirely likely that Marian and Sullan armies both had legions with the same number, and we know for a fact that many of Antony's legions were numbered the same as Octavian's. This became less of a problem when Augustus standardized the number of legions, but the issue is that it never really was standardized. After Augustus is when we start to see nicknames popping up for legions, and it's often easier to identify them like that. If we do that we realize that quite frequently there were several Tenth Legions--for example the Tenth Gemina was probably made up from several different legions that had suffered heavy losses at Philippi, one of which may or may not have been Caesar's old Tenth. It gets worse when we realize there are three different Sixth Legions on our record serving at different places at the same time, two different Fifths (one under Caesar and one under Augustus--the Augustan legion is mentioned by sources until quite late)...the list goes on and on. One prime example is the Seventh Legion, which traced its lineage back to Caesar. However, after 68, A.D. two different Seventh Legions exist in the record, as Galba raised a Sixth Legion in his bid for Rome, and we have reason to believe that even after Vespasian emerged as victorious this VII Gemina existed as part of the Spanish garrison for some time. And this is only including legions that weren't part of the consular armies, which only went up to four legions. That becomes unbelievably annoying, since Legions One through Four had several different copies floating around throughout the Principate, copies which it's almost impossible to tell apart.
What was the point of all that? To emphasize how incredibly difficult it is to track a particular legion throughout the centuries. We speak of the Augustan army as being standardized, permanent, and standing. It was no such thing. While the legions were reorganized in a much more centralized system and redeployed so as to guard frontiers at permanent camps rather than milling about whatever weak point a provincial governor wanted to put them, they were not some sort of permanent, perfectly recorded force.
This all comes together when looking at the Ninth Legion. What do we have exactly? We have references to Legio IX Hispana ending around 100, A.D., when we know that the legion was stationed at York. Now, we know that York maintained a permanent legionary garrison up until the final withdrawal from Britain, and there are signs that local magistrates still maintained significant forces there afterwards. And we know that in a roll of the legions made towards the end of the 2nd Century it is not mentioned. That's not a whole lot of evidence for the destruction of a legion, especially when we realize that that particular list is missing a number of legions that appear later or appear in duplicates later. Gets weirder when we realized that archaeologists have picked up legionary badges bearing the title IX Hispana on them in Holland from a significantly later date than Hadrian's reign.
So about the two theories. The first, which you claim to be "heavily supported," is actually not seriously considered by any classicists at all. The idea that the Ninth was destroyed somewhere in Caledonia is entirely the speculation of Rosemary Sutcliff in her children's novel, The Eagle of the Ninth. Although it had been suggested by the Victorians that the Ninth was the victim of a massive British revolt during Hadrian's reign (which seems to be the origin of this popular claim), nobody had ever suggested that the legion had marched northwards from York and never returned, an idea that no serious scholarship has since supported. And if we turn to the supposed great British Revolt under Hadrian, the pet theory of Mommsen, it unfortunately rests on very circumstantial evidence, which pretty much entirely consists of several very short passages that refer to soldiers killed in Britain. Another thing is that scholars generally agree these days that Hadrian's Wall was not a defensive structure, at least not one intended to keep anybody out. It's far too shallow, legionary camps are too small and stationed too far apart, and there are no watchtowers or anything. It really resembles nothing more than a really really big hedgerow on the edge of your neighbor's lawn, with legionary camps stationed several miles to the rear, ready to consolidate together if necessary. The only real reason it was once presumed that the wall was used as a defensive fortification is that Mommsen and his supporters were able to convince people that there was this enormous British insurrection, both in the south and the north. Archaeological evidence has since pretty much refuted this idea, since there's really no indication of increased violence during that period and the main legionary garrisons stay manned with no apparent drop throughout the Roman occupation. And there's really not much I can say about the second theory, since there's absolutely no reason to suppose it's true. It's just convenient that the Jewish Revolt is the only insurrection that we know occurred at about that time.
The failure to record a legion really isn't that big a deal--during the Third Century legions stopped being recorded entirely. What's interesting about the Ninth is that it stops appearing a couple decades before the situation got so chaotic that all attempts to figure out where legions were were just abandoned. Personally (and quite a lot of classicists are with me on this one) I don't think we have anywhere near enough information textually to suggest that anything happened to the Ninth. The destruction of an entire legion was a big deal, something that would have found its way into the textual corpus in some way until the Third Century in some form or another. Even when the Ninth Legion was simply mauled earlier in its career it managed to make its way into our books. There's no archaeological evidence to point to the destruction of the legion, and there's every indication that it persisted at least in name well into the Fourth Century. The similarity between the mauling of the legion during the Iceni revolt and most proposed models that feature its destruction is something that I find particularly suspect. And legions drop off the roll all the time. At the same time, however, the fact that it isn't recorded definitely in any text after that does stand for something, but in the absence of really good records around that period it's not all that useful.
Bottom line? Who the hell knows. But whether you're really skeptical like me or not, I think what's very clear is that this is an event which definitely is overblown by a lot of people. Really all we can say is that they disappear from the roll of legions, that's it.