The fact that the Romans knew a form of bagpipe doesn't mean that they introduced them to Britain; it isn't impossible, but there's no evidence of pipes being played here anything like that early (they begin to be mentioned in England, and rather later in Scotland, in the wake of the first crusade, which also gave us the kettle drum). Is there any evidence of bagpipes blown with bellows before the development of the Musette at the French court? I've never heard of Roman bellows pipes; the very sketchy records surviving suggest that they had a simple mouth-blown variety, not unlike the more primitive ones still found in Northern Africa and the Near East, and probably recently imported from there.