Didn't they use a lot of guerilla warfare? - as I think it was Primus Pilus that said they wouldn't openly stand and fight the Romans, they would just flee to the highlands. Although it may not have been impossible for the Romans to settle in Caledonia, the way I remember it, the Romans didn't really have a real enemy to fight.
It is simple enough to conduct a war when the enemy stands visible in front of you, but when there is no defined enemy and not necessarily a lot of open battles, but just a constant nuissance nipping at your heels I would think that the undertaking would increase a great deal in cost and in difficulty to outright win.