The anecdote I quoted does come from the collection known as the 'Historia Augusta'. After visiting Carlisle, Septimius retired to York, where he died some eighteen months later.

The 'victory' over the Caledonians was a negotiated settlement, for which Septimius had come to Britain prepared with huge sums of money, leading to a peace treaty which the Caledonians broke the following year. Too ill to lead his army against them, Septimius sent Caracalla, with orders to kill anyone they met. Caracalla returned without apparently having achieved anything. Septimius announced that he would personally lead the army out in the spring of 211, but died in February.

For this account of events, I admit it is necessary to read between the lines of both Herodian's and Cassius Dio's versions of what happened.