I'm not sure why you decided to put the word "society" in scare quotes, as if the Scythians wouldn't qualify for the term. We have plenty of information that allows us to get a sense of their culture. Apart from the rich archaeological finds from across Central Asia, there is Herodotos' lengthy description of their customs and lifestyle, which has been repeatedly confirmed by other sources, suggesting that he had a good understanding of how their society worked. Despite being mostly nomadic, the Scythian tribal group controlled very extensive domains and extracted wealth from land and animals in a great variety of ways. Their wealth is clearly apparent from their elaborate styles of dress, jewellry and weapons. Since these styles are distinctly and uniquely Scythian, there is no question that it was produced by the Scythians themselves, rather than simply stolen from others.

The main issue, I think, is that we are inclined by pop culture examples like the random hordes from the Civilization games and the Dothraki from Game of Thrones to regard horse nomads as savages, who are essentially parasitic, understand only violence and plunder, and produce nothing of their own. The wealth of evidence cited above - from Greek literature to Siberian grave mounds - shows that this image is quite wrong (at least in the case of the Scythians). There is no reason why nomadic peoples couldn't master complex crafts and produce luxury goods that could play important roles in their society. This includes the creation of the beautiful jewellry for which the Scythians are known.

The development of written language is an entirely separate thing. Without meaning to talk down to you, it is worth stressing that human cultures don't all progress along some sort of predetermined tech tree, so that all those who have researched Goldsmithing would also have researched Writing. Rather, technological skill and artistic innovation emerge from the particular needs and practices of each society. In all societies that independently developed writing, its initial purpose was the keeping of administrative records - state inventories, land lease contracts, that sort of thing. Societies without complex, settled communities generally have no need of writing, and may never develop it, regardless of how sophisticated their mastery is in other areas. One obvious example of this is Greece, which developed its own writing systems during the Late Bronze Age, but then lost it when its palace states collapsed. Writing was altogether unknown in Greece for about 400 years, until a foreign (Phoenician) script was adopted to serve the needs of newly growing societies that had regained a certain level of complexity. It is quite possible that the Scythians were getting along just fine and had no incentive to develop a writing system.