In the Roman Occupation of Britannia, they stationed three or four legions here, usually three. This was a lot (out of a total of about 26), and indicates how rebellious the province was. For most of the time, one was at Caerleon (Isca), near Newport, in South Wales, and one was at Chester (Deva). The fact that these were both in effect on the frontier of what was later Wales does not suggest it was well absorbed into the empire, unlike places like the south of France, the East of Spain, SE England, and the African provinces. So I’m very doubtful about Holyhead and Milford Haven.