Yes, absolutely.

The first thing is that the Wall isn't a hard border as we think of it; it's a zone of control which was put in place (speculatively) more to control trade and communications rather then to repel any serious military offensives. Although the Romans didn't officially control north of it as subjects, it's likely that they had client kingdoms to the north as well as occupying small parts of it.

There were Roman forts in Scotland right up to the level of the Antonine Wall, which was put in place from approximately AD 142 after Urbicus advanced into Scotland, and lasted until about 162, when the garrisons were withdrawn back to the line of Hadrian's Wall. We're not absolutely certain why the Antonine Wall was built or why it was abandoned, but its purpose was probably similar to Hadrian's Wall and it presumably was either deemed too difficult to uphold or became unnecessary. The forts in Scotland were abandoned after maybe the mid 180s.

The Emperor Septimius Severus campaigned in Caledonia with his two sons, Caracalla and Geta, between 208-210. Although he experienced some early success, he was ultimately bogged down in a guerilla war. There's definitely a conversation to be had about whether his and Caracalla's response to this was essentially a policy of "genocide or submission". After Severus' death at York, Caracalla ultimately agreed to a peace deal. After this although there are definitely Romans in Scotland (think Legionary scouts and probably traders), there's no concerted attempt to conquer them. Although there's some references to Stilicho having a "Pictish war" in the late 390s, and there seem to have been some repairs to Hadrian's Wall around 400, we have little evidence to show any war took place or that he even left Italy.