They actually did take most of the low lands all the way to the top but could not control it. Just like most empires the area is conquered and then the easy tribes are given control over the area. They collect tributes to the rulers. This works well with people that have a hierarchy system of rule. They know how a system works and understands being subjugated. The Scots in the highlands did not have this system and everyone was equal and generally lived together in a type of commune. Lots of these communes existed. Each individual therefore did not know how to react when ruled over. Hope that makes sense.
The walls were to keep the Scots out of England.