Roman Artifacts can be exchanged at your Museum. This Assassins Creed Valhalla Roman Artifact Location Guide lists all of the locations for the Roman Artifacts we have discovered when exploring England in AC Valhalla. This is not a complete list as we’re still exploring England but this is the vast majority of Roman Artifact locations.
In your Settlement, once you have increased your rank enough, you can choose to build a Museum. It serves but a single purpose, to trade you Roman Artifacts for special cosmetic decorations that you can put up around your base. If settlement decoration isn’t for you, I wouldn’t worry about finding all of these. However, if you want to make the Raven Clans settlement as gorgeous as possible, some of the rewards and statues are fantastic.