1) We know one of the Roman governors was from Africa, but don't know his ethnicity
2) Maybe [something about recessive genes I think] the DNA aged out of the record
3) Maybe most of the Romans went home at the end of the occupation!!!!!!! This one made me think of that Feymnan trait of complete skepticism. Taleb seemed to struggle with the idea that there is not much firm proof of anything that happened in Roman Britain, but not having firm evidence to back up your claim doesn't make you wrong.
It seemed to me, and this is only an impression, that the main problem Taleb had with her is that she was a woman, and a smart one too.