But Eastern threat wouldn't just disappear : Media, Elam, Nomad / semi-nomad from Iranian plateau would cross Zargos every few years.
Which makes a very useful source of slaves

I only half-jest. Persia has shown itself more than capable of defending itself against this problem - Mesopotamia being hardened and the rest of the plateau used to soften an invasion - whilst also not having to defend against Rome, makes it arguably easier.
The Zagros is a border, but just like you'd want Mesopotamia to secure Syria, Mesopotamia (and the Zagros) will want the Iranian Plateau, which would want the Hindu Kush, etc.
The Romans would want a short border, and a way to defend in depth for moderately little cost. The Zagros is a great frontier, for this reason. It can protect Rome proper (Mesopotamia), whilst turning any Persian state into a small client state. Keeping the Plateau divided but under Roman rule ensures that the region isn't strong enough to rebel - but is also expendable. Iranian troops defending the frontier under different client kings slows down any invader. The key is that the Romans need to ensure that these client kings earn enough from Rome to make loyalty worth their while.
Or, you set up the Roman Empire in the East. (But I'd be repeating myself).