There are two different ways that Empires acquire and 'hold' territory, and the Romans of the Imperial Era used both where they were possible.

The first way, the way the Romans preferred, was to invade a territory inhabited by a fairly settled and agriculturally mature society with either cities or proto-cities. Defeat the principle forces of resistance with overwhelming force, plant some Roman colonies or municipalities in the area, flatter and pay the local chieftans into supporting you, encourage (sometimes by force) the populace to live in the cities where possible, and then wait for the forces of commerce and urbanity to take root, for local elites to begin competing with both local and non-local elites to win more and more influence with the Imperial Center, for local commoners to buy into Roman material culture and urbanity, and for everyone to slowly 'become Roman.' It has been very persuasively argued that the Romans did not intentionally Romanize their subject peoples, and that may have been true early in the era of Imperial conquest, but there is substantial evidence that by at least the 2nd century AD (the 100s) the Romans were at least AWARE of what their common Imperial practices were doing to the peoples they ruled, intentionally or otherwise, and they continued doing what they had been doing for two centuries with an eye towards seeing that process (the Romanization of conquered territory) unfold in their newest territorial additions (Britain, Dacia, and Mesopotamia) as it had everywhere else in the Empire. SEE Tacitus, Agricola.

And yet the process of Romanization was only partially successful in Britain and Dacia. Yes, some Romanized native groups there did come to see themselves as Romans and were readily and productively converted into citizens by the mid third century. The end result of this first form of Imperial dominion is the building out or expansion of the central state. The Empire doesn't just acquire territory--it incorporates that territory into the central state and makes it a part of the core, with unrestricted trading, citizenship rights, taxation (instead of plunder or tribute), settling colonists, inviting local elites into government, and so on. Eventually the majority population of the conquered territory becomes just as Roman as the Romans who conquered them, and a part of the whole. The Imperial 'state' expands. For a more modern parallel, this is also the story of the continental United States.

But the fact that this process only partially worked in both Britain and Dacia brings us to the second means of Imperial Domination, one the Romans also employed, although we tend not to think about them projecting their Imperium this way because it's not at all like their principal form of Imperial dominance at all, as we just discussed. It is, however, the primary means by which Imperial powers have projected their dominance throughout history.

When we speak of the Ancient Egyptians, we recognize that at their height they ruled an Empire which stretched from Nubia to the Euphrates. And yet with only a few minor exceptions, there are almost no native Egyptian monuments outside of the traditional boundaries of the ancient Egyptian core Kingdom. The Egyptians made practically zero attempt to incorporate the Mediterranean Coast of the Fertile Crescent or the Nubian heartlands into their territorial STATE. Instead, they treated the populations of these regions as conquered peoples, or tributaries, demanding tribute, raiding their lands for natural resources, occassionally replacing hostile local rulers with ones more friendly to Egypt, and so on. They also did this with the desert tribes all around the Nile heartland, as far east as Libya.

The Assyrian Empire also treated its conquered possessions in much the same way. So did the Persians. And, so, of course, although we tend not to think about it this way, so did the Romans.

When you look at a map of ancient Rome, circa 117 (the Trajan-Hadrianic settlement) you are actually only looking at the part of the Empire which can be considered part of its territorial state. The vast majority of peoples living within the boundaries marked on this map either considered themselves to be Romans already or at least considered themselves to be an integral part of the Empire. The inhabitants of Dacia and Britain might have quibbled a bit (as well as the Jews of Judea, whose recent uprising had just been very brutally suppressed) might have argued about this point, but Dacia had JUST been acquired, Britain less than 50 years ago, and all three represented the sort of liminal hinterlands of the Empire, where territorial state formation began to blur into the second form of Imperial dominance: power projection.

Imperial armies encamped on the Rhine and the Danube don't just protect the lands behind their garrisons, after all: they also project Roman imperial power Forward, beyond the territorial limits of the State. If we read the writings of some early Imperial authors (esp. Tacitus in his Annals) we get the clear sense that although the Romans could never bring either Germania OR Scotland under their firm, settled, territorial control, their armies projected Imperial power well beyond their territorial frontiers, and this, more traditional form of Imperial dominance allowed the Romans (at least through the Severan dynasty, and occassionally afterwards until the end of the Constantinian dynasty) to demand tribute, extract resources, and install or support client kings well beyond the territorial borders of what we typically consider 'The Roman Empire.' If you consider the map of the Roman Empire in 117 again, for example, there really ought to be a shaded area beyond the frontiers where Roman's Empire persisted up to the north shore of Scotland and the Jutland Peninsula, or at least as far north of the Rhine and Danube as the territory of the Marcomanni, Quadi, Suevi, and other frontier peoples whose rulers accepted Roman dominion in exchange for trading rights and patronage (in the form of Imperial largesse.) In exchange, the Romans frequently extracted tribute and natural resources from these client kings or subjected peoples, and whenever the northerners needed a reminder of who was boss, the Roman legions (at least through the Constantinian period) could be sent North of the territorial frontier to project Roman power and remind the kings and chieftans beyond the immediate frontier who was boss.

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There are other aspects to the questions than answered there, but the main reason might well be that it would have been militarily irrelevant to hold the northern third of Britain, a poor region that couldn't stand the comparison with the rest of it let alone the other provinces; especially as Roman Britain was already heavily militarized comparatively to other western provinces while imperial policies rather attempted to reach a pacification of their borders to focus more on Asia.