Rivers certainly did form natural frontiers, especially ones as wide as the Rhine. My understanding was that (generally speaking) it formed the eastern frontier of Gaul, which is why Caesar chose to keep to raids only into the territory to the east of it.

But by Varus' time it was no longer the frontier - camps and roads had been established there for some time and trading posts and new towns like the one at Waldgirmes had been established. Drusus had taken Roman forces up to the Elbe, but its likely the frontier of Varus' province was meant to be the Weser.
Cheers,

Thiu