There is actually quite a lot left of the Antonine Wall. You can still see footings and the like of the main forts where they were built from stone, with more visible over towards the Glasgow end. The Fort here in Edinburgh was quite big, and I actually went to see it the other night so I will post about that. Not much remains, and there was even a fairly big bathhouse here, but it was covered back over, so you cant see anything of it, which is a shame. There is also an eagle carved into a rock near here, which is considered Roman and potentially linked to a legion, although not confirmed, which I think is pretty cool - although its so weather worn now that you now have to use your imagination when viewing it !
I agree, conquering all of the British Isles would have been really difficult. The Antonine Wall is clearly placed across the shortest route you can take from East to West in Scotland and makes a huge amount of sense from a defensive perspective, noting that it also encompasses a lot of the best land here. Then trying to control the rest of it above the wall line would have been incredibly difficult due to the landscape and islands, and would have taken way more soldiers and infrastructure, etc, than it was probably worth.