No, this is a really cool question -- because actually, I've always thought that Methos was never all that comfortable in Rome. At least, fo much of the time. My personal fanon places him in Italy in the 8th century BCE, and again around the 6th/5th, but mostly spending time in Etruscan and Greek cities. (He really liked the Etruscans. What's not to like, really?) And in the greek world I always associate him with Ionia (hence the move to Southern Italy and Sicily at the end of the 6th century, because I don't really see Methos sticking around to fight the Persians.)

And then, he's such an epicurean -- ataraxia is totally his ideal state. I think this is appealing to him because it's a way of restraining the violence inside himself -- as you say, he used to be Death, and I think that not-being-Death is, at least at certain times, something of a struggle for Methos. I should totally write a "why Methos is an Epicurean (and does that mean Duncan is a Stoic?)" post.

Duncan, OTOH, would have totally loved Rome. He'd have been all, virtus! and fides! and pietas! These are my people!