Is this a myth?

[Robert Vermaat]

The atrocity was widely condemned and it precipitated a crucial turning point in church history: his local bishop, Ambrose, barred Theodosius from the church until he performed public penance, establishing moral authority over the emperor.

Indeed - Theodosius 'the Great' proved he had no spine and gave in to the church.
Not for the first or last time, alas. When he admonished the church to abide by the law - for instance in the case where monks had driven Jews from their synagoge and damaged the building, he told them to repair it. Ambrose then got on his back and forced him to change his mind, purely on theological grounds. So where Constantine had been practical and tolerant (his opinion was that all those who had not yet seen the light, were to be pitied but left alone), Theodosius completely gave way and allowed persecutions of all non-Christians.

As to the Sarmatians, Romans of course knew peoples from each other when they put their mind to it, but for some commentators all northern barbarians were alike. Remember also that Sarmatians and Alans did operate together with Goths a lot, and may have been taken prisoner in the same campaign. Constantine trounced both groups so vigorously that they remembered it for generations, the Goths proving loyal to his house until it died out with the last usurper (Procopius)