tl;dr: How many slaves would have been at Saalburg? https://en.wikipedia.org/wiki/Saalburg
Two years ago I visited the reconstructed Fort Saalburg on the german Limes. During the tour I asked the tourg guide where the slaves lived. She said there were no slaves. Which I thought was strange, since there was a bathing house and other infrastructure that, in my mind, require a lot of labor. Since I still remember all the lies tour guides told me as a kid about knights and amor, I'm skeptic of the "no slaves here" line...
Even if you don't know anything about Saalburg, I am still interested in how salves, the roman legions and frontiers relate to each other.
The army had slaves, but perhaps not as many as you would suppose. The soldiers did a lot of the work themselves.
For example, we have duty rosters which lists which soldier had to do which chores on which day, which included working the bathhouse. Or cleaning the streets, or the latrines, or guarding the gates. There are also tasks like "boots" for so-and-so, which may have involved literally cleaning boots or acting more as a batman for an officer.
It was a known practice in many units for soldiers to bribe their centurios so as to avoid the more unpleasant of these duties.
That said, there were official army slaves. These were known as galearii (helmet-wearers) and acted as support personnel on campaign. For example, they'd look after the army's baggage train and took care of the pack animals. They even had a simple uniform. [Edit: Whilst these existed, I did some more research and it's incomplete. See below for more details.]
In addition, there were personal slaves. The legate commanding the legion had a big house inside the camp (the praetorium) that was modelled on a Roman aristocrat's house, and included a good number of slaves or freedmen to serve him. His family might also live there. Other important officers also had houses and presumably slaves, though far less than the legate.
Some common soldiers also kept slaves as personal servants. Many soldiers also married, despite this being illegal for centuries. Quite often, these wives were actually freedwomen, bought and then freed by the soldier so he could marry her. We're not completely sure where these slaves and wives (and children) lived. Many scholars have supposed they'd live in villages outside the camp wall, but there's archaeological evidence (finds of clothing and such) suggesting that at least some of them may well have lived with the soldiers in their barracks-blocks.
That said, there were definitely settlements that sprang up around legionary forts, and there would have been more slaves there.
Source: Goldsworthy, The complete Roman army. See in particular page 84, 91 & 103.
Edit: Goldsworthy doesn't elaborate further on these Galearii, but there appears to be more to them than he indicated. Here's a quote from Valerie Maxwell's 'Soldier and Civilian: Life Beyond the Ramparts'
"While some of the slaves present in the army train were personal slaves, privately owned, belonging to individual soldiers, others were officially attached to the army itself and thus presumably owned by the state. Many of these performed a pseudo-military role. We encounter them being used to forage, to fetch supplies, to drive the mules and wagons and to help defend the baggage train. Moreover, both Josephus in the first century and Vegetius in the fourth indicate that they had some military training. Josephus is specific on the point: 'Servants ... may properly be included in the category of combatants, whose military training they shared; for taking part in peacetime in all their masters' training and in wartime in their dangers, they yielded to none but them in skill and prowess. One cannot but admire the forethought show in this particular by the Romans, in making their servants useful to them not only in ordinary life but also for war.' Vegetius notes that the most able and experienced were called galearii, a term which derives from the word galea, a helmet."
There appear to be have many other categories of military slaves than just these galearii. Colones, (grooms) agasones, muliones. (Baggage-handlers.) The general term was servitia castris, or camp-slaves.
I'm dubious how the tour guide would know there were no slaves ever in that fort, how would you know? I can only imagine that numerous ostraka were found with "Damn I wish we had some slaves in this fort". Thinking on it, I find that almost impossible to believe - the fort would have been commanded by a centurion/decurion/whatevs who's standing and wealth would absolutely demand a slave.
I'm not a specialist in this field, but I have been taught that slaves were not distributed uniformly across the empire but were concentrated in the core (Italy). Places like Egypt where we have lots of documentary evidence shows slaves were fewer in number (I've seen a 10% figure cited). So the presumption is that other provinces had them in small numbers as well.
Lastly the issue of where all the slaves came from in the Empire without constant wars 'creating' new sources of slaves. Some scholars suggest that they mostly came from the periphery and then were re-sold within the empire. So if that scenario was true then slave traders could be operating on the other side of the border giving the soldiers an opportunity to buy it 'at the source' for lack of a better term.