As that thread suggests, you need a good reason, and those are far and few between - and it wouldn't be an easy conquest. I originally suggested it'd be a good way to cycle gold back to the Roman treasury, but a better option might be an "Exile Campaign" (i.e. send a commander who is TOO popular away for a hard campaign, so that if they fail, they're mocked, or if they succeed, they're so far out of the way that they can't be a threat). I would happily suggest Belisarius for this in a "Faster Conquest of Italy Scenario")
As to the locals - I don't actually think they're insurmountable problems - heck, if your TL has enough cunning in its commander, being able to bring some of them onside could be a powerful boon. Especially as realistically the campaign would be focused on conquering coastal trade cities that already exist.
However, the real value of such a campaign is that that 'Colony' (it'd probably be considered in a similar way to an Exarchate), would be able to apply pressure on S.Arabia - both in trade and military force. I think I've even had a thread where I suggested a potential capital site for such a conquest.
However, if in some way you can provide peace, and control over the southern Somalian farmlands you've got the beginnings of a polity. The biggest impact I think the Romans can have is that with windmills and aqueducts (I have no knowledge of those existing in the region). It'd be interesting to see if they'll try and take Aristotles observations on desalination and try and apply it in some way with wind-powered water lifting, if only to try and "Romanise" the region.
Alternatively they could just try and experiment with saltwater agriculture - which the extreme environs combined with the way the Romans would likely try and use the land could be interesting. (Note : I say this because the Romans fundamentally were settled non-nomadic and likely to not change their ways, too much. They'd still try and farm the north.)
Another alternative is if the Romans had an understanding of saltwater wetlands they could try and create artificial wetlands that way.
Or, if they have the knowledge, set up Marib Dam style water capture based on the Monsoon on a larger scale than ever happened locally.
All are possible, and if you've got some General stuck in what is to him the back end of nowhere they'll try and make it less back-end.