Odd thing I just now noticed about the King Arthur movie...

[macsen rufus]

I've not seen the particular movie in question (though it would have to be very good to compare to Borman's Excalibur, which I consider to be the epitome of Arthurian film-making ), and given the huge uncertainties over the history/mythology surrounding Arthur, it's always going to be a matter of interpretation anyway....

However, back to the OP question of why a Roman family would be north of the Hadrianic wall? This wasn't the northern-most extent of Roman control, and actually represented a pulling-back of the northern border. The Antonine wall (Forth-Clyde, IIRC) was much further north, and some historians put the battle of Mons Graupius as far north as Inverness. Given the fluid nature of the Empire's further reaches, simply being north of Hadrian's Wall is not a major problem, IMHO. Some strands of Arthurian thought associate him with the Kingdom of Rheged, in what is now Dumfriesshire, firmly north of Hadrian's border

I must agree with cmacq, though, in that I would expect Arthur to be more likely a Romano-British character than derived from the Senatorial classes. Although the Legions were withdrawn in the early 400s AD, there was still the expectation that they would return, eventually. Romano-British society still looked to Rome for legitimacy. Nobody. least of all a noble (however provincial or minor) would be unaware that the Legions had gone. They would be unaware however that they would never return, largely due to the rest of the Empire going through it's final death-throes.