And the formation the Chinese described was rather vague, describing it as "Fish-scaled". Which may also imply groups of Macedonian-Greek soldiers in the Parthian Empire who could have gotten recruited by the Central Asian nomads the Han fought.
And if I recall they had been captured anyways and weren't in service to Rome at that time.
As well, there's no real hard evidence supporting that. Espeically since the propositions is more speculative that its worth, and not accounting for the Silk Road for the "Caucasian" features of Li-chien.