I think they expanded as far south as they could have. The deserts of the Sahara really isn't a good place to expand to, as it was worthless, and expanding down the Nile will be stopped by the tsetse fly the farther south they would go.
The farthest south they could have taken was probably Kush, which Gaius Petronius did invade during the time Augustus. He did manage to sack the capital, and installed a garrison, though Augustus later withdrew from the place.
Farther south and you encounter the problem of the tsetse fly.