The Romans (as the Byzantines and the Ottomans) never conquered Persia proper which was the real core of the Parthian/Sassanid Empire.
BUT - they don't need to. Persia proper was ruled by Vologases III, who was more pro-Roman. Besides, even if your Parthian client state is only the western parts of Parthia, that;s still more than enough to serve as a shield.