I think the answer to this question depends on what you mean by 'Conquer.'

During the Roman period, there were several instances of the Romans moving north of the Tyne-Solway Line (now marked by Hadrian's Wall) and regularly beating opposing forces. Famously, Gnaeus Julius Agricola marched an army basically to the furthest limit of Britain (a Roman Fort has been discovered at Cawdor, near Inverness) and routed a Caledonian army at Mons Graupius. After this, he took hostages, exacted tribute, and garrisoned much of Lowland Scotland. So if your definition of 'conquer' is defeat in battle, take hostages, garrison the area and exact regular tribute, then the Romans did conquer Scotland, at least for a time.

If your question is why was Scotland not held onto in the same manner as Britain south of Hadrian's Wall, that's a bit different. Our concept of Scotland as the unexplored 'ends of the earth' for Roman Civilization (propounded in movies like the Eagle) is not necessarily accurate. Rome, even after pulling back most of its troops south of Hadrian's Wall, continued to be on very friendly relationships with the tribes to the north, and there is archeological record of lively trade and communication between them. Even after Hadrian's Wall was built, there were numerous expeditions north of the wall, to pacify violent tribes, exact tribute, or even to build a new barrier along the Forth-Clyde line (better known as the Severan or Antonine wall).

It should be noted that Rome did this along most of her borders, not just Scotland. One could ask, why didn't Rome expand into the Sahara? Or into the Hejaz/Yemen region? Why didn't they permanently take over Germany? Oftentimes the strategy was one of Pacify, exact tribute, and place a friendly tribe along the borders. And this worked pretty well - in Britain, for example, the system functioned until Roman military might in the province was stripped away to fight internal wars.

One item of note that I think is crucial to understand regarding Hadrian's Wall. It is easy to think of it as some kind of monolithic structure made to keep out the hordes beyond. This is far from the case. Instead, the wall was a great tool in regulating trade - it ensured that any merchant making their way through northern Britain was forced to pay tribute to the Romans - a financial incentive that may have outweighed trying to subsume all of Caledonia.

Wolfson, Stan (2002). "The Boresti: The creation of a myth"

Duncan B. Campbell, "Search for a lost battlefield", Ancient Warfare Vol. 8 issue 1 (2014)

Sheppard Frere (1980). Britannia.