Distance from Rome is important but not critical -- arguably, the highlands of nearby Africa and the Balkans and maybe even Italy were never "conquered" throughout the whole of Roman history, even though there were legions stationed in Nubia thousands of kilometers away.
An area needs a certain amount of development before it can be forced into an empire. You need towns, significant trade in bulk necessities like grain, etc. If all you've got is a bunch of hundreds of mostly self-sufficient villages and farmsteads, then you can march an army in and march an army out without really making much of an impact. You can burn and loot a bit, but there's not enough agricultural surplus to support a big garrison, and even if you do set up big forts in the valleys controlling the major rivers and fords, no one cares, because they're not dependent on trade anyway.
The way that places like Scotland and Wales were historically conquered was by settlement -- some other Germanic or Celtic group invaded, settled in the villages, intermarried with the existing tribes, and became the new tribal overlords. If you try that with professional soldiers, they will no longer be professional soldiers. An invading army might be able to change the demography or the language of such areas, but can't make them answer to an imperial or provincial capital.
